Risk-Free Interest Rate Term Structures

​​​​​​​​​​​​​​​​​​​​​​​​​​​​​​​​​​Technical information relating to risk-free interest rate (RFR) term structures is used for the calculation of the technical provisions for (re)insurance obligations. 

In line with the Solvency II Directive, EIOPA publishes technical information relating to RFR term structures on a monthly basis. By this publication EIOPA ensures consistent calculation of technical provisions across Europe and, thus, higher supervisory convergence for the benefit of the European insurance policyholders.

While EIOPA’s technical information published on this website is based on sources which EIOPA considers to be reasonably reliable. In certain circumstances, it may be necessary for EIOPA, to amend and/or republish a particular, from time to time, its technical information after it has been published.  EIOPA accepts no responsibility or liability for any losses incurred in connection with any decision made or action or inaction on the part of any party in reliance upon EIOPA’s technical information.​​​​

​Background Material

​Date​​Background Material
​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)​
01.07.2016
​07.06.2016Risk-free interest rate term structure Coding
31.05.2016
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
​​Smith-Wilson risk​-free interest rate extrapolation tool
CoD & PD calculation tool​​

Monthly Technical Information

​​​​​​​​​​Date​​ ​Monthly Technical Information
13.01.2016December 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​​
09.11.2016October 2016
07.12.2016​​
​​09.01.2017

​For queries, please fill in the form by clicking here​​.

Before doing so, please check whether your question has already been answered.​​