Preparatory Phase of the Risk-Free Interest Rate Term Structures for Solvency II


This page provides the following information to support EU insurance and reinsurance undertakings during the preparatory phase of Solvency II:

  • The Technical Information referred to in Article 77e(1) of the Directive 2009/138/EC;
  • ​The Technical Documentation explaining the inputs, assumptions and methodology applied in the calculation of the Technical Information, as envisaged in Recital 23 of the Delegated Regulation of Solvency II.

While the publication of this information is not compulsory until 2016, EIOPA has advanced its disclosure in order to help EU insurance and reinsurance undertakings to prepare for the implementation of Solvency II.

​​​​​​Date​​Activity​
​10 December 2015
​External review of EIOPA risk free rate
​08 December 2015Frequently Asked Questions
​07 December 2015

Risk-free interest rate technical documentation

Smith-Wilson risk-free interest rate extrapolation tool


CoD & PD calculation tool​

​27 October 2015 ​Risk-free interest rate technical documentation (Outdated! Please use the version of 7 December 2015)​

Smith-Wilson risk-free interest rate extrapolation tool​ 
(Outdated! Please use the version of 7 December 2015. This version was not compatible with all users' IT applications) ​

CoD & P​D calculation tool​ (Outdated! Please use the version of 7 December 2015)​
​09 October 2015Review of the methodology to derive the ultimate forward rates​
​07 August 2015 Frequently Asked Questions ​(published 07 August 2015) (Outdated! Please use the version of 8 December 2015)​
​15 July 2015 ​​Preparatory phase of RFR (beta release of coding)
19 June 2015Risk-free interest rate technical documentation​ ​​ (Outdated! Please use the version of 27 October 2015)
28 February 2015Risk-free interest rate technical documentation​​ (Outdated! Please use the version of 27 October 2015)
Frequently Asked Questions​​ (published 08 June 2015) (Outdated! Please use the version of 07 August 2015)
​November 2015 ​Risk-free interest rate technical information​​​​ ​(published 07 December 2015)
​October 2015 ​​Risk-free interest rate technical information​​​ ​(published 09 November 2015)
​September 2015 ​​Risk-free interest rate technical information​​ (published 07 October 2015)
​August 2015​Risk-free interest rate technical information​ (published 07 September 2015)
​July 2015 ​Risk-free interest rate technical information (published 07 August 2015)
June 2015 ​Risk-free interest rate technical i​nformation​​​​​ ​(published 07 July 2015​)​​​​​
May 2015Risk-free interest rate technical i​nformation​​​​ ​(published 08 June 2015​)​​​​​
April 2015​​​Risk-free interest rate technical i​nformation​​​ ​(published 08 May 2015​)​​​​​
March 2015 ​​Risk-free interest rate technical i​nformation​​​ ​ (published 10 April 2015​)​​
​February 2015 ​Risk-free interest rate technical i​nformation​​​  (published 06 March 2015​)
January 2015 Risk-free interest rate technical i​nformation​​​  (published 06 March 2015​)
​December 2014 Risk-free interest rate technical information (published 07 August 2015)
​Risk-free interest rate technical i​nformation​​​ (published 28 February 2015) (Outdated! Please use the version of 07 August 2015)