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.

Monthly Technical Information - 2020

Upcoming publication dates in 2020 are set as follows:

9 January, 5 February, 4 March, 3 April, 6 May, 4 June, 3 July, 5 August, 3 September, 5 October, 5 November, 3 December. ​​​​ 

Monthly Technical Information - 2019 ​

​​​Date ​Monthly Technical Information
​05.12.2019November 2019​
07.11.2019 ​October 2019
​07.10.2019 ​September 2019
​05.09.2019 August 2019​
​06.08.2019 July 2019​
​04.07.2019 ​June 2019
06.06.2019 May 2019 (updated: 18 June 2019)
​07.05.2019            April 2019
04.04.2019March 2019
​06.03.2019February 2019
​06.02.2019 January 2019
​08.01.2019December 2018

Background Material

​Date​​Background Material

​08.10.2019

Risk free interest rate term structure coding

Used for the parallel calculation (see: News item 08 October 2019)

​01.10.2019

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

Applicable from 1 January 2020 onwards.

​26.07.2019

​List of Reuters Instrument Codes (RICs) of financial market data

​21.05.2019

​Report on the Calculation of the UFR for 2020

​18.12.2018Updated representative portfolios for the calculation of the volatility adjustment - Applicable end of March 2019 (see: News item 18 December 2018)
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​​

New market data provider: Parallel calculations

​DateMonthly Technical Information​
​05.12.2019November 2019​
​07.11.2019 October 2019

​08.10.2019

 September 2019

Previous Releases

You can find previous RFR releases here. 


 


 

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