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
08.11.2018 Risk free interest rate term structure coding
14.08.2018

Technical documentation of the methodology to derive EIOPA's risk-free interest rate term structures 

Applicable from 1 January 2019 (see: News item 30 October 2018)

​14.08.2018

Updated representative portfolios for the calculation of volatility adjustment

Applicable from 1 January 2019 (see: News item 30 October 2018)

28.03.2018 

​ Calculation of the UFR for 2019

01.02.2018
Risk-free interest rate technical documentation
23.05.2017
Updated calculation of the UFR for 2018 (May 2017)
04.05.2017
VA calculation example for one euro area country

​​VA calculation example for one non-euro area country 
​05.04.2017
Calculation of the UFR for 2018
22.12.2015
Smith-Wilson risk​-free interest rate extrapolation tool

CoD & PD calculation tool​​

Monthly Technical Information - 2018 ​

​​​Date ​Monthly Technical Information
​09.01.2018 ​December 2017
​06.02.2018 January 2018
​06.03.2018 ​February 2018
​06.04.2018 March 2018

​07.05.2018 April 2018
​06.06.2018 May 2018
​05.07.2018
June 2018
​06.08.2018 July 2018 
​06.09.2018 August 2018 (for more information - see link)
​05.10.2018 September 2018
​08.11.2018 October 2018

(this version contains an updated output file  “EIOPA_RFR_20181031_PD_Cod.xlsx” which replaces the one published on 8 November 2018. Click h​ere​ for more information.)

​06.12.2018November 2018

Monthly Technical Information - 2019 ​

​​​Date ​Monthly Technical Information
​08.01.2019
​06.02.2019
​06.03.2019
​04.04.2019
​07.05.2019
​06.06.2019
​04.07.2019
​06.08.2019
​05.09.2019
​07.10.2019
​07.11.2019
​05.12.2019

Previous Releases

You can find previous RFR releases here. 



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