EIOPA · 3530
Risk Free Rate (RFR)
- Regulation
- (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2026-03-19
- Answered
- 2026-04-15
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
Trying to find an official reference for the calculations
Answer
EIOPA plans to publish a similar workbook demonstrating the new extrapolation and VA calculation in Q2 this year.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
Similar Q&As
More Q&As on this topic
📋 Track EU financial regulation continuously
Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.
14-day free trial. No credit card required.