EIOPA publishes monthly technical information for Solvency II Relevant Risk Free Interest Rate Term Structures – end-January 2022

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 January 2022.

This month, RFR technical information has been calculated:

  • Applying Ultimate Forward Rates (UFRs) in accordance with the Report  for the calculation of the UFR for 2022 published by EIOPA on 21 April 2021 derived from the UFR methodology to update the UFRs published by EIOPA in April 2017. The UFR applied to the euro has decreased from 3.60% to 3.45%.
  • Based on the regular annual update of the transition matrices up to 2021 used for the calculation of fundamental spreads of corporate bonds.
  • Including the foreseen changes in the deep, liquid and transparent (DLT) points reflected in the last technical documentation.
  • Applying the published approach for the implementation of Interbank Offered Rates (IBOR) transitions based on the technical documentation  to be effective for official calculations from 1 January 2022.

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 2022, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

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