Risk free interest rate

EIOPA publishes monthly technical information for Solvency II Relevant Risk Free Interest Rate Term Structures– end-October 2021

The first parallel technical information based on the published approach for the implementation of Interbank Offered Rates (IBOR) transitions has also been published

 

​Today, the European Insurance and Occupational Pensions Authority (EIOPA) published technical information on the relevant risk free interest rate term structures (RFR) with reference to the end of October 2021.

In addition to the current official monthly technical information, EIOPA also published today the first parallel technical information on the relevant risk free interest rate term structures (RFR) with reference to the end of October 2021 based on the published approach for the implementation of Interbank Offered Rates (IBOR) transitions.

You can find this parallel publication in a dedicated section in EIOPA’s website, below Monthly Technical Information 2021.

RFR information has been calculated on the basis of the content of the updated technical documentation under Background material and based on RFR coding released on 8 October 2019.

All the documents are available on RFR specific area on EIOPA's website. In particular, the updated version of the source code can be accessed under Related links in the RFR area.

Background

Technical information relating to risk-free interest rate (RFR) term structures is used for the calculation of the technical provisions for (re)insurance obligations.

In line with the Solvency II Directive, EIOPA publishes technical information relating to RFR term structures on a monthly basis via a dedicated section on EIOPA's Website also containing the release calendar for 2021, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

With this publication, EIOPA ensures consistent calculation of technical provisions across Europe.