EIOPA Updates Solvency II Volatility Adjustment Reference Portfolios

EIOPA News

Published December 9th, 2025

Detected February 11th, 2026

Summary

The European Insurance and Occupational Pensions Authority (EIOPA) has published updated reference portfolios for calculating the volatility adjustment to risk-free interest rates under Solvency II. These updated portfolios will be used for the VA calculation from the end of March 2026.

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What changed

EIOPA has updated the reference portfolios used for calculating the volatility adjustment (VA) to the relevant risk-free interest rate term structures under Solvency II. These updated portfolios, based on end-2024 annual reporting from European (re)insurance undertakings, aim to more accurately reflect market volatility within the Solvency II framework. The changes are reflected in updated RFR Technical Documentation and will be applied starting with the VA calculation for the end of March 2026, which will be published in early April 2026.

(Re)insurers must prepare to use these new reference portfolios for their calculations beginning in March 2026. The update is being provided three months in advance to allow for adequate preparation. This is part of EIOPA's annual update cycle for these portfolios, with the next revision scheduled for the end of 2026.

What to do next

Update internal models and systems to incorporate the new reference portfolios for volatility adjustment calculations from March 2026.
Review the updated RFR Technical Documentation for any further implications on risk-free rate calculations.

Source document (simplified)

Today, the European Insurance and Occupational Pensions Authority (EIOPA) published updated reference portfolios that will be used in the calculation of the volatility adjustment (VA) to the relevant risk-free interest rate term structures under Solvency II.

EIOPA will begin using these updated representative portfolios for the end-March 2026 VA calculation, which will be published at the beginning of April 2026. The changes are also reflected in the updated RFR Technical Documentation.

The updated representative portfolios are being published three months in advance to provide (re)insurers with sufficient time to prepare for this change.

The portfolios are based on the end-2024 annual reporting templates submitted by European (re)insurance undertakings to their national supervisory authorities. They enable a more accurate reflection of the impact of market volatility within the Solvency II framework.

EIOPA updates the representative portfolios on an annual basis, with the next revision scheduled for the end of 2026 in accordance with Article 11.1.3 of the RFR Technical Documentation.