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Risk-free rate previous releases and preparatory phase

Archives content from previous risk-free interest rate term structures publications

Current publications

Current publications of risk-free interest rate term structures are available here.

Solvency II preparatory phase

This page also provides the information to support EU insurance and reinsurance undertakings during the preparatory phase of Solvency II:

  • The Technical Information referred to in Article 77e(1) of the Directive 2009/138/EC;
  • ​The Technical Documentation explaining the inputs, assumptions and methodology applied in the calculation of the Technical Information, as envisaged in Recital 23 of the Delegated Regulation of Solvency II.

While the publication of this information is not compulsory until 2016, EIOPA has advanced its disclosure in order to help EU insurance and reinsurance undertakings to prepare for the implementation of Solvency II.

Preparatory phase of the risk-free interest rate term structures for Solvency II

10 December 2015 - External review of EIOPA risk free rate

​08 December 2015 - ​Frequently Asked Questions​

​07 December 2015 - Risk-free interest rate technical documentation

​07 December 2015 - Smith-Wilson risk-free interest rate extrapolation tool

​07 December 2015 - CoD & PD calculation tool​​

​27 October 2015 - Risk-free interest rate technical documentation (Outdated! Please use the version of 7 December 2015)​

​27 October 2015 - ​Smith-Wilson risk-free interest rate extrapolation tool​  (Outdated! Please use the version of 7 December 2015. This version was not compatible with all users' IT applications)

27 October 2015 - CoD & P​D calculation tool​ (Outdated! Please use the version of 7 December 2015)​

​09 October 2015 - ​Review of the methodology to derive the ultimate forward rates​​

​07 August 2015 - Frequently Asked Questions ​(published 07 August 2015) (Outdated! Please use the version of 8 December 2015)​

​15 July 2015 - ​​Preparatory phase of RFR (beta release of coding)

​19 June 2015 - ​Risk-free interest rate technical documentation​ ​​ (Outdated! Please use the version of 27 October 2015)​

​28 February 2015 - ​Risk-free interest rate technical documentation​​ (Outdated! Please use the version of 27 October 2015)

​28 February 2015 - Frequently Asked Questions​​ (published 08 June 2015) (Outdated! Please use the version of 07 August 2015)

​November 2015 - Risk-free interest rate technical information​​​​ ​(published 07 December 2015)

​October 2015 - ​​Risk-free interest rate technical information​​​ ​(published 09 November 2015)

​September 2015 - ​​Risk-free interest rate technical information​​ (published 07 October 2015)

​August 2015 - ​​Risk-free interest rate technical information​ (published 07 September 2015)

​July 2015 - ​Risk-free interest rate technical information (published 07 August 2015)

​June 2015 - ​Risk-free interest rate technical i​nformation​​​​​ ​(published 07 July 2015​)​​​​​

​May 2015 - ​Risk-free interest rate technical i​nformation​​​​ ​(published 08 June 2015​)​​​​​

​April 2015 - ​​​Risk-free interest rate technical i​nformation​​​ ​(published 08 May 2015​)​​​​​

​March 2015 - ​​Risk-free interest rate technical i​nformation​​​ ​ (published 10 April 2015​)​​

​February 2015 - ​Risk-free interest rate technical i​nformation​​​  (published 06 March 2015​)​​

​January 2015 - ​​Risk-free interest rate technical i​nformation​​​  (published 06 March 2015​)​

​December 2014 - Risk-free interest rate technical information (published 07 August 2015)

​December 2014 -​Risk-free interest rate technical i​nformation​​​ (published 28 February 2015) (Outdated! Please use the version of 07 August 2015)

Previous releases publications from 2016 to 2022

Related resources

Background material - Previous releases
  • 2023 M. SAUSIO 31 D.
technical_documentation_31_march_2017.pdf
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(2.84 MB - PDF)
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  • 2023 M. SAUSIO 31 D.
Updated representative portfolios for the calculation of volatility adjustment (applicable end-March 2018)
English
(765.17 KB - XLSX)
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  • 2023 M. SAUSIO 31 D.
technical_documentation_4_may_2017.pdf
English
(2.85 MB - PDF)
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  • 2023 M. SAUSIO 31 D.
Risk-free interest rate technical documentation​_
English
(2.84 MB - PDF)
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  • 2023 M. SAUSIO 31 D.
Risk-free inter​est rate​ term structure Coding
English
(25.69 KB - ZIP)
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  • 2023 M. SAUSIO 31 D.
Changes of the relevant financial instruments for the derivation of the risk-free interest rates​
English
(93.48 KB - PDF)
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  • 2023 M. SAUSIO 31 D.
VA calculation example for one euro area country.xlsb
English
(4.53 MB - XLSB)
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  • 2023 M. SAUSIO 31 D.
Updated representative portfolios for the calculation of the volatility adjustments (applicable from 30 September 2016 onwards)
English
(49.94 KB - XLSX)
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Monthly technical information - 2022
  • 2023 M. SAUSIO 31 D.
November 2022.zip
English
(4.12 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
October 2022.zip
English
(4.12 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
September 2022
English
(4.12 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
August 2022
English
(4.11 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
July 2022
English
(4.13 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
June 2022
English
(4.12 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
May 2022
English
(4.12 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
April 2022
English
(4.13 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
March 2022.zip
English
(4.13 MB - ZIP)
Parsisiųsdinti
  • 2023 M. VASARIO 7 D.
February 2022
English
(4.12 MB - ZIP)
Parsisiųsdinti
  • 2023 M. SAUSIO 31 D.
January 2022
English
(4.12 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
December 2021
English
(4.15 MB - ZIP)
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Monthly technical information - 2021

 

  • 2023 M. SAUSIO 31 D.
November 2021
English
(4.15 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
October 2021
English
(4.14 MB - ZIP)
Parsisiųsdinti
  • 2023 M. SAUSIO 31 D.
September 2021
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
August 2021
English
(4.15 MB - ZIP)
Parsisiųsdinti
  • 2023 M. KOVO 14 D.
July 2021
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
June 2021
English
(4.14 MB - ZIP)
Parsisiųsdinti
  • 2023 M. SAUSIO 31 D.
May 2021
English
(4.15 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
April 2021
English
(4.14 MB - ZIP)
Parsisiųsdinti
  • 2023 M. SAUSIO 31 D.
March 2021
English
(4.14 MB - ZIP)
Parsisiųsdinti
  • 2023 M. SAUSIO 31 D.
February 2021
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
January 2021
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
December 2020
English
(4.13 MB - ZIP)
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Monthly technical information - 2020
  • 2023 M. SAUSIO 31 D.
November 2020
English
(4.13 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
October 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
September 2020
English
(4.13 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
August 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
July 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
June 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
May 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
April 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
March 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
February 2020
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
January 2020
English
(4.13 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
December 2019
English
(4.14 MB - ZIP)
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Monthly technical information - 2019
  • 2023 M. SAUSIO 31 D.
December 2018
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(4.08 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
January 2019
English
(4.08 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
February 2019
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(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
March 2019
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
April 2019
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(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
May 2019
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
June 2019
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
July 2019
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
August 2019
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
September 2019
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
October 2019
English
(4.14 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
November 2019
English
(4.14 MB - ZIP)
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Monthly technical information - 2018
  • 2023 M. SAUSIO 31 D.
December 2017
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(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
January 2018
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(4.01 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
February 2018
English
(4.01 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
March 2018
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(4.07 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
April 2018
English
(4.08 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
May 2018
English
(4.08 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
June 2018
English
(4.08 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
July 2018
English
(4.08 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
August 2018
English
(4.09 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
September 2018
English
(4.08 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
October 2018
English
(4.09 MB - ZIP)
Parsisiųsdinti
  • 2023 M. SAUSIO 31 D.
November 2018
English
(4.08 MB - ZIP)
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Monthly technical information - 2017
  • 2023 M. SAUSIO 31 D.
December 2016​
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(4.01 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
January 2017​​​
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(4.01 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
February 2017
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(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
March 2017
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(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
April 2017
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(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
May 2017
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(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
June 2017
English
(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
July 2017
English
(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
August 2017
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(4.01 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
​September 2017
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(4.01 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
October 2017
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(4 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
November 2017
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(4.01 MB - ZIP)
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Monthly technical information - 2016
  • 2023 M. SAUSIO 31 D.
December 2015
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(3.95 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
January 2016​
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(3.96 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
February 2016​
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(3.96 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
March 2016​​
English
(3.97 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
April 2016​
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(3.96 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
May 2016​​
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(3.97 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
June 2016​
English
(3.96 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
July 2016​
English
(3.96 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
August 2016​​
English
(3.96 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
September 2016​​
English
(3.98 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
October 2016​
English
(3.97 MB - ZIP)
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  • 2023 M. SAUSIO 31 D.
November 2016
English
(3.96 MB - ZIP)
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