Solvency II Review – Impact assessment curves

The Solvency II Review
Let Milliman's experts help you navigate the latest amendments and explore the most significant impacts of the Solvency II review.
Read moreAs part of the ongoing Solvency II review, the European Commission has proposed changes to the methodology for constructing risk-free interest rate curves, including updates to extrapolation beyond the last liquid point and the interest rate shock curves. Many insurers are actively seeking practical tools and guidance to assess the impact of these changes—particularly through the ORSA and other regulatory exercises. With the implementation date for these proposed changes set for 30 January 2027, timely preparation is important.
To support companies in this transition, Milliman is pleased to offer complimentary access to our Solvency II review impact assessment curves, reflecting the latest proposed methodology. These curves are designed to help you assess the potential impact of the new approach on your portfolios. Developed in collaboration with S&P Global, the impact assessment curves are being updated quarterly to align with EIOPA’s existing curve delivery schedule.
The curve deliverables, up to and including Q4 2025, contain the following:
- Constructed spot rate base curves for EUR,GBP and USD for various valuation dates, including curves with ±100bps shocks.
- Curves both with and without Volatility Adjustment (VA); where VA is included, the macroeconomic VA element is excluded. VA curves are shown for (rounded) VA levels at Credit Spread Sensitivity Ratios (CSSR) of 100%, 80%, and 60%, to allow the user to interpolate to their desired CSSR and corresponding VA level.
- Curves with upward and downward interest rate shocks, reflecting the current proposed Solvency Capital Requirement (SCR) interest rate shock methodology.
Milliman also offers a range of support related to Solvency II review implementation, including:
- Solvency II review implementation support, Board trainings, impact assessments, and VA calibrations: Our experts can assist with all aspects of the Solvency II review. We would be delighted to discuss how we can help your organization.
- Early EIOPA curve generation: Milliman can produce EIOPA curves on work day one, before official publication. This can help companies avoid production bottlenecks when timing is critical.
- Bespoke solutions for discontinued currency curves: If you are affected by EIOPA’s decision in late 2024 to discontinue certain currency curves, please contact us. We have developed custom solutions to help clients meet regulatory requirements in these cases.
For further details on the broader Solvency II review and upcoming regulatory changes, please refer to our Solvency II Review landing page, which provides helpful insights.
For more information on the data provided by S&P Market Intelligence, contact Enrico Piccin or visit Derivatives Solutions | S&P Global.

Download: Quarterly impact assessment curves
The methodology for generating the Solvency II review impact assessment curves is outlined in our technical specifications document here.
Please note: no phasing in of the Solvency II review approach has been assumed in the generation of the impact curves.
Please use the link below to download the curve data covering each quarterly period from Q4 2024 to Q4 2025, inclusive. The file will download in ZIP format.
Our experts

Conor Callaghan

Joost Broens
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