Solvency II Q1 2026: mandatory technical parameters for insurers

Key data

European insurers have before them the technical parameters they must use to calculate their technical provisions and basic own funds in the first quarter of 2026. The Implementing Regulation (EU) 2026/1094, published on 22 May 2026, sets the risk-free interest rate curves, volatility adjustments and other actuarial data applicable for reference dates between 31 March and 29 June 2026.

This is not a new regulation in structural terms: Solvency II (Directive 2009/138/EC) does not change. What changes each quarter are the market data that feed the calculation models. And using incorrect or outdated data has direct supervisory consequences.

What does this regulation establish?

The regulation develops the implementing provisions of Directive 2009/138/EC (Solvency II) regarding the technical information necessary for two fundamental calculations:

• Technical provisions: reserves that insurers must establish to meet their future obligations to policyholders.
• Basic own funds: capital available to absorb losses and guarantee the solvency of the entity.

The technical parameters set by this regulation include:

• Risk-free interest rate curves: the discount reference for valuing the insurer's future obligations.
• Volatility adjustments: corrections applied to interest rate curves to mitigate the impact of artificial market volatilities.
• Other actuarial parameters necessary for the solvency calculations of the period.

These data are updated each quarter through periodic implementing regulations. The present regulation covers exclusively the period with reference date between 31 March 2026 and 29 June 2026, corresponding to the first quarter of 2026 for reporting purposes.

Economic and operational impact

Although this regulation does not introduce structural changes to Solvency II, its operational impact is direct and immediate for the actuarial and risk departments of any European insurer.

Variations in risk-free interest rate curves and volatility adjustments compared to the previous quarter may have significant effects on:

• The level of technical provisions: a variation in discount curves modifies the present value of future obligations, directly affecting the volume of reserves the entity must establish.
• The solvency ratio: changes in basic own funds calculated with these parameters may cause an entity to move closer to or further from regulatory thresholds (SCR and MCR).
• Quarterly solvency reports: the use of incorrect parameters invalidates the report and exposes the entity to supervisory requirements from the DGSFP.

Operational risk is not minor: if the actuarial team does not update the parameters in time or uses those from the previous quarter, solvency calculations fall out of regulatory compliance, regardless of the actual financial soundness of the entity.

Who does it affect?

• Insurance companies operating in the European Union under the Solvency II regime.
• Reinsurance companies subject to Solvency II in any EU Member State.
• Actuarial and risk departments responsible for calculating technical provisions and basic own funds.
• Chief Financial Officers (CFO) and Chief Risk Officers (CRO) of insurance entities who sign solvency reports.
• External consultants and actuaries who prepare or review solvency calculations for insurers.
• Entities supervised by the DGSFP in Spain, which is the competent authority to enforce compliance and issue supervisory requirements in case of non-compliance.

Practical example

A Spanish life insurance company with a significant volume of long-term obligations (for example, annuity insurance) uses risk-free interest rate curves to discount its future cash flows and calculate the present value of its technical provisions.

If the actuarial department prepares the solvency report for the first quarter of 2026 using the curves from the previous quarter (Q4 2025) instead of those set by the Implementing Regulation (EU) 2026/1094, the resulting calculation does not comply with current regulations, regardless of whether the numerical difference is small.

The DGSFP, in a supervisory review, may detect the use of incorrect parameters and issue a formal requirement to the entity. This type of incident, although it does not necessarily imply an immediate economic sanction, generates a supervisory file and requires recalculation and resubmission of the affected reports, with the operational and reputational cost that this entails.

The solution is simple: the actuarial team must incorporate the parameters of the current regulation in each reporting period without exception.

What should companies do now?

1. Download the technical parameters of Regulation (EU) 2026/1094 from the Official Journal of the EU and make them available to the actuarial team immediately.
2. Update the calculation models for technical provisions and basic own funds with the risk-free interest rate curves and volatility adjustments set for the period 31 March – 29 June 2026.
3. Verify that the Q1 2026 solvency report uses exclusively the parameters of this regulation, not those from the previous quarter or any internal estimate.
4. Document the parameter update process to demonstrate to the DGSFP, if necessary, that calculations have been performed in accordance with current regulations.
5. Review the publication schedule for future implementing regulations to anticipate the availability of parameters in subsequent quarters and avoid delays in the actuarial close.