RFR
Technical information relating to risk-free interest rate (RFR) term structures is used for the calculation of the technical provisions for (re)insurance obligations.
November 2024
October 2024
September 2024
August 2024
July 2024
June 2024
May 2024
April 2024
March 2024
February 2024
January 2024
December 2023
November 2023
October 2023
September 2023
August 2023
July 2023
June 2023
May 2023
April 2023
March 2023
February 2023
January 2023
December 2022
Dual run - December 2021
Dual run – November 2021
Dual run - October 2021
24-09-2024 RFR Technical Documentation
27-03-2024 - Report on the calculation of UFR for 2025
06-12-2023 RFR Technical documentation
06-12-2023 Updated representative portfolios applicable end of March 2024.xlsx
06-12-2023 New method to calculate the Credit Risk Adjustment for situation 3 applicable from January 2024
2-10-2023 RFR Technical Documentation
27-04-2023 - Report on the calculation of UFR for 2024
13-12-2022 Technical documentation.pdf
08.03.2023 Corrected updated representative portfolios applicable end of March_2023
16-09-2022 Technical documentation
03.11.2021 – Technical documentation
04.04.2022 - Report on the-calculation of UFR for 2023.pdf
03.11.2021 – Updated representative portfolios for the calculation of volatility adjustment - applicable end of March 2022
30.09.2021 – Technical Documentation
16.07.2021 – Technical Documentation
31.05.2021 – Technical documentation
21.04.2021 – Report on the calculation of UFR for 2022
16.12.2020 – Updated representative portfolios for the calculation of volatility adjustment - applicable end of March 2021
16.12.2020 – Technical documentation
20.08.2020 - Technical documentation
17.07.2020 - Report on the-calculation of UFR for 2021.pdf
Fixed updated representative portfolios applicable end-of-March 2020.xlsx
01.10.2019 Technical documentation
26.07.2019_List of Reuters Instrument Codes (RICs) of financial market data
21.05.2019_Report on the Calculation of the UFR for 2020
Fixed updated representative portfolios applicable end-of-March 2019.xlsx
14.08.2018_Technical documentation of the methodology to derive EIOPA's risk-free interest rate term structures
14.08.2018_Updated representative portfolios for the calculation of volatility adjustment
28.03.2018_Calculation of the UFR for 2019
01.02.2018_Risk-free interest rate technical documentation
23.05.2017_Updated calculation of the UFR for 2018 (May 2017)
04.05.2017_VA calculation example for one euro area country.xlsb
04.05.2017_VA calculation example for one non-euro area country.xlsb
05.04.207_Calculation of the UFR for 2018
22.11.2015_Smith-Wilson risk-free interest rate extrapolation tool
22.12.20015_CoD & PD calculation tool
Interest Rate Up and Down Shocks of Risk-free Curves as of 2024-06-30 for the Purposes of Financial Stability Reporting
Interest Rate Up and Down Shocks of Risk-free Curves as of 2023-12-31 for the Purposes of Financial Stability Reporting
Fundamental Spread, Probability of default and Cost of Downgrade as of 2023-12-31 for the Interest Rate Down Shock for the Purposes of Financial Stability Reporting
Fundamental Spread, Probability of default and Cost of Downgrade as of 2023-12-31 for the Interest Rate Up Shock for the Purposes of Financial Stability Reporting
December 2019
RFR November 2019
October 2019
RFR September 2019
15 September 2020
14 August 2020
17 July 2020
16 June 2020
26 May 2020
12 May 2020
27 April 2020
21 April 2020
14 April 2020
6 April 2020
24 March 2020