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European Insurance and Occupational Pensions Authority
 

3530

Q&A

Question ID: 3530

Regulation Reference: (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)

Topic: Risk Free Rate (RFR)

Status: Final

Date of submission: 19 Mar 2026

Question

Before Solvency II came into force, Eiopa has published an Excel file containing the Smith-Wilson risk-free interest rate extrapolation. This file can be found here: https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term… 31 JANUARY 2023 22.11.2015_Smith-Wilson risk​-free interest rate extrapolation tool English (1.16 MB - XLSB) Since the formula for the extrapolation of the risk free interest rates will be changed with the Solvency II review, I'd like to ask whether there is a corresponding file where the new extrapolation formula is implemented. Just trying to make sure that there are no mistakes in my interpretation of the formula. Thanks a lot, Alexey Botvinnik

Background of the question

Trying to find an official reference for the calculations

EIOPA answer

EIOPA plans to publish a similar workbook demonstrating the new extrapolation and VA calculation in Q2 this year.​