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
14.08.2018Technical documentation of the methodology to derive EIOPA's risk-free interest rate term structures (implementation of the update suspended until further notice - see link)


Updated representative portfolios for the calculation of volatility adjustment(applicable from end-August 2018) (implementation of the update suspended until further notice - see link)




​ Calculation of the UFR for 2019


Risk-free interest rate technical documentation
Risk-free inter​est rate​ term structure Coding
Updated calculation of the UFR for 2018 (May 2017)
VA calculation example for one euro area country

​​VA calculation example for one non-euro area country 
Calculation of the UFR for 2018
Risk-free inter​est rate​ term structure Coding
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
​06.02.2018January 2018
​06.03.2018​February 2018
​06.04.2018March 2018

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

Monthly Technical Information - 2017 ​

​​​Date ​Monthly Technical Information
​09.01.2017​December 2016
​07.02.2017​​January 2017​
​07.03.2017February 2017
​07.04.2017March 2017
​08.05.2017April 2017
​08.06.2017​May 2017
​06.07.2017June 2017
​04.08.2017​July 2017
​06.09.2017​August 2017
​06.10.2017​September 2017
​08.11.2017​October 2017
​06.12.2017November 2017

Previous Releases

You can find previous RFR releases here. 

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