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.