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European Insurance and Occupational Pensions Authority
 

3642

Q&A

Question ID: 3642

Regulation Reference: Risk-Free Interest Rate - Extrapolation

Topic: Risk Free Rate (RFR)

Status: Rejected

Date of submission: 11 Sep 2026

Question

Does EIOPA intend to publish, as part of its monthly risk-free interest rate (RFR) technical information, the weighting factors required to calculate the LLFR for each relevant currency and interest rate curve once the new extrapolation methodology under the Solvency II 2020 Review becomes applicable?

If so, will these weighting factors be published on a monthly basis together with the other RFR input parameters, enabling undertakings to independently reproduce the LLFR and the resulting extrapolated risk-free interest rate term structures?

Background of the question

Under the new extrapolation methodology introduced as part of the Solvency II 2020 Review, zero-coupon yields beyond the First Smoothing Point (FSP) are derived using a weighted combination of the Last Liquid Forward Rate (LLFR) and the Ultimate Forward Rate (UFR). The LLFR itself is calculated as a weighted average of selected forward rates with maturities before and after the FSP. The corresponding weighting factors are determined based on an assessment of the liquidity of the relevant swap market. For undertakings to independently reproduce the LLFR and the resulting extrapolated risk-free interest rate term structures, the applicable weighting factors are therefore required.

EIOPA answer

This question has been rejected because the issue it deals with is already explained in the RFR Technical documentation.

The LLFR weights are to be updated annually and will be reported in the RFR Technical Documentation. Please refer to the ‘Background material’ section of the EIOPA RFR webpage for the updated RFR Technical Documentation (published on 26 May 2026) that will apply from 30 January 2027. As noted in Table 2 of that document, the LLFR weights reported in the table will be updated once EIOPA finalises the 2026 depth, liquidity and transparency (DLT) assessment. The 100% weights currently reported in the table reflect the present situation and are assigned to the last liquid point for each currency.