Question ID: 3423
Regulation Reference: Risk-Free Interest Rate - Extrapolation
Topic: Risk Free Rate (RFR)
Status: Rejected
Date of submission: 29 Sep 2025
Question
Currently, for the Solvency II framework, EIOPA is delivering files containing risk-free term structure for several scenarios: the basic ones with no VA with and without shocks, and the same with VA. After the 2020 Solvency II review I guess that EIOPA will not be able to deliver risk-free term structure with VA as VA will be based on a company specific portfolio. Am I right? And another related question is: will EIOPA continue to deliver the extrapolated risk-free term structure without VA but with and without shock? Will EIOPA deliver file to help for the extrapolation of risk-free term structure?
Background of the question
With the 2020 Solvency II revision, each company will need to calculate VA with a specific portfolio, apply this VA to the risk-free term structure and extrapolate the risk-free term structure (with and without shocks).
EIOPA answer
EIOPA will continue to publish basic interest rate curves (i.e. without VA), next to the ones with up- and down-shocks.
Regarding the last question, EIOPA recommends checking the following document: Excel file demonstrating the new extrapolation, the new VA calculation, and the new interest rate up- and down-shocks.