EIOPA publishes the RFR Technical Documentation to become applicable from 30 January 2027

The European Insurance and Occupational Pensions Authority (EIOPA) published today an updated version of the Risk-Free Rate (RFR) Technical Documentation for the calculation of RFR term structures, together with three spreadsheet-based examples on key areas of the revised methodology. The updated Technical Documentation reflects the amendments to the Solvency II Directive and to Commission Delegated Regulation (EU) 2015/35 and will apply from 30 January 2027.

The Technical Documentation offers a comprehensive description of the revised calculations and serves as a functional reference intended to enhance transparency on the derivation of RFR term structures and to support stakeholders in replicating the calculations. An overview of the main changes is included on the cover page. The accompanying spreadsheet-based examples supplement the Technical Documentation by illustrating selected calculations relating to the inter- and extrapolation methodology, risk-corrected spreads, and the volatility adjustment.

This updated version of the RFR Technical Documentation does not yet incorporate the results of the depth, liquidity and transparency (DLT) assessment or the annual update of the representative portfolios, including the newly introduced frozen cash flows, for the current year. These regular updates will be performed later in the year once the underlying data becomes available.

The latest version of the updated Technical Documentation and the calculation examples are available in the Risk-free interest rate term structures page , under ‘Background Material’.