Risk-Free Interest Rate Term Structures - Previous Releases

Archives content from previous risk-free interest rate term structures publications can be found on this page.

Current publications can be found on the main Risk-Free Interest Rate Term Structures.

Background Material - Previous Releases

Date​​Background Material
01.02.2018Risk-free interest rate technical documentation


Risk-free interest rate technical documentation
​18.12.2017Updated representative portfolios for the calculation of volatility adjustment (applicable end-March 2018)
​27.06.2017Risk-free interest rate technical documentation
04.05.2017Risk-free interest rate technical documentation
Risk-free interest rate technical documentation​ (31 March 2017)
Risk-free interest rate technical documentation​ (27 February 2017)
​31.01.2017​Risk-free interest rate technical documentation​ (30 January 2017)
​23.12.2016 ​​Risk-free interest rate technical documentation ​(22 December 2016)
​30.09.2016 ​Risk-free interest rate technical documentation
VA calculation example for one euro area country
​VA calculation example for one non-euro area country
Risk-free inter​est rate​ term structure Coding
​Changes of the relevant financial instruments for the derivation of the risk-free interest rates​ (applicable from 31 December 2016 onwards)​
​07.06.2016Risk-free interest rate term structure Coding
Risk-free interest rate technical documentation. More details on this version can be viewed here​.
​07.03.2016 Risk-free interest rate term structure Coding​
​05.02.2016Risk-free interest rate term structure Coding​ (including updated functions for LTAS and CRA)

Frequently Asked Questions
22.12.2015​Risk-free interest rate term structure Coding

Monthly Technical Information - 2016

​​​​​​​​​​Date​​ ​Monthly Technical Information

December 2015 (this version replaces the one published on 8 January 2016. Click here​ for more information)​​​​

05.02.2016January 2016
07.03.2016 ​February 2016
07.04.2016March 2016
11.05.2016 ​April 2016
07.06.2016 ​May 2016​
​07.07.2016June 2016
05.08.2016 ​July 2016
07.09.2016 ​August 2016​​
10​.10.2016 ​September 2016​​
09.11.2016 October 2016
07.12.2016​​ ​November 2016​ (this version contains an updated output file “EIOPA_RFR_20161130_VA_portfolios” which replaces the one published on 7 December 2016. Click h​ere​ for more information.)

Solvency II Prepatory Phase

You can find RFR releases from the Solvency II preparatory phase here.