Question ID: 3529
Regulation Reference: (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
Topic: Risk Free Rate (RFR)
Article: 77e
Status: Rejected
Date of submission: 18 Mar 2026
Question
In the context of Solvency II (including QIS 5 and the standard formula), EIOPA publishes risk-free interest rate term structures as zero-coupon spot rates. Could EIOPA clarify whether the prescribed interest rate shocks (e.g. upward and downward stresses in the standard formula) should be applied annually or continuously compounded spot rates?
Background of the question
We are uncertain as to whether the prescribed interest rate shocks in QIS 5 should be applied to annually or continuously compounded spot rates
EIOPA answer
The question has been rejected because the answer can be found in EIOPA’s monthly RFR publication.
The interest rate risk shocks are applied to the annually compounded risk-free interest rates. The formulas can be seen in the monthly RFR publication file (e.g. “EIOPA_RFR_20260228_Term_Structures.xlsx”), worksheet “Spot_NO_VA_shock_UP”.