Getting Started with solvency2rfr

Overview

solvency2rfr provides easy access to the risk-free interest rate (RFR) term structures published monthly by the European Insurance and Occupational Pensions Authority (EIOPA). These curves are a mandatory input for calculating Solvency II technical provisions across the European Economic Area.

The package reads the official EIOPA RSS feed, downloads the monthly ZIP files, and returns the data as a tidy tibble — one row per country and maturity year.

library(solvency2rfr)

Listing available publications

Use rfr_index() to see all available datasets. Each row represents one monthly publication:

idx <- rfr_index()
head(idx)

#> # A tibble: 5 × 3
#>   date       title         url                                                                    
#>   <date>     <chr>         <chr>                                                                  
#> 1 2026-04-30 April 2026    https://www.eiopa.europa.eu/system/files/2026-05/EIOPA_RFR_20260430.zip
#> 2 2026-03-31 March 2026    https://www.eiopa.europa.eu/system/files/2026-04/EIOPA_RFR_20260331.zip
#> 3 2026-02-28 February 2026 https://www.eiopa.europa.eu/system/files/2026-03/EIOPA_RFR_20260228.zip
#> 4 2026-01-31 January 2026  https://www.eiopa.europa.eu/system/files/2026-02/EIOPA_RFR_20260131.zip
#> 5 2025-12-31 December 2025 https://www.eiopa.europa.eu/system/files/2026-01/EIOPA_RFR_20251231.zip

Downloading term structures

rfr_term_structures() downloads the most recent publication by default, or a specific date when supplied:

# Most recent publication
rfr <- rfr_term_structures()

# Specific reference date
rfr_april <- rfr_term_structures("2026-04-30")

#> # A tibble: 15 × 4
#>    date       country maturity   rate
#>    <date>     <chr>      <int>  <dbl>
#>  1 2026-04-30 Euro           1 0.0268
#>  2 2026-04-30 Euro           2 0.0275
#>  3 2026-04-30 Euro           3 0.0275
#>  4 2026-04-30 Euro           4 0.0275
#>  5 2026-04-30 Euro           5 0.0278
#>  6 2026-04-30 Germany        1 0.0268
#>  7 2026-04-30 Germany        2 0.0275
#>  8 2026-04-30 Germany        3 0.0275
#>  9 2026-04-30 Germany        4 0.0275
#> 10 2026-04-30 Germany        5 0.0278
#> 11 2026-04-30 France         1 0.0268
#> 12 2026-04-30 France         2 0.0275
#> 13 2026-04-30 France         3 0.0275
#> 14 2026-04-30 France         4 0.0275
#> 15 2026-04-30 France         5 0.0278

The returned tibble contains one row per country–maturity combination:

Column	Type	Description
`date`	`Date`	Reference date (end of month)
`country`	`character`	Country or currency area name
`maturity`	`integer`	Maturity in years (1 to 150)
`rate`	`double`	Annual spot rate as a decimal (not percent)

Selecting a curve type

The curve argument selects which rate curve to return. Available options are:

`curve`	Description
`"spot_no_VA"`	Spot rate without volatility adjustment (default)
`"spot_with_VA"`	Spot rate with volatility adjustment
`"spot_no_VA_up"`	Upward interest rate shock (no VA)
`"spot_no_VA_down"`	Downward interest rate shock (no VA)
`"spot_with_VA_up"`	Upward interest rate shock (with VA)
`"spot_with_VA_down"`	Downward interest rate shock (with VA)

rfr_va <- rfr_term_structures("2026-04-30", curve = "spot_with_VA")

Example: plotting the Euro risk-free curve

library(ggplot2)

rfr |>
  subset(country == "Euro" & maturity <= 50) |>
  ggplot(aes(x = maturity, y = rate * 100)) +
  geom_line() +
  labs(
    title = "EIOPA Euro Risk-Free Rate — April 2026",
    x     = "Maturity (years)",
    y     = "Annual spot rate (%)"
  )

Data source and disclaimer

The RFR term structures are published by EIOPA at: https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures_en

An internet connection is required to download data. EIOPA publishes updated curves approximately on the 5th of each month for the prior month-end.

Technical information published is based on sources which EIOPA considers to be reasonably reliable. EIOPA accepts no responsibility or liability for any losses incurred in connection with any decision made or action or inaction in reliance upon EIOPA’s technical information.