EIOPA has published the Solvency II risk free rate term structures; and created a template for submitting follow-up questions.

The intention is to use harmonised risk free rate term structures to ensure the consistent calculation of technical provisions across the European Union.
 The reference date of the published term structures is 31 December 2014. Term structures for 31 January and 28 February 2015 will follow in the next few days. This Technical Information will be updated on a monthly basis after that.

The risk-free rate term structure is used to discount (re)insurance obligations so that technical provisions reflect the current amount that (re)insurers would have to pay if they immediately transferred their obligations to another (re)insurer.

The publication consists of Technical Information and Technical Documentation. The Technical Information includes:

  1. Risk-free rate term structures for 53 countries, with and without a volatility adjustment; and
  2. The value of the fundamental spread to be applied for the calculation of the matching adjustment.

The Technical Documentation includes the methodology, assumptions and data used to calculate the Technical Information.