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

Following our news item published on last March 25th on the upcoming publication of the Russian Rouble risk-free rate term structure and based on our continuous monitoring and last observations where rates are evolving rather stable, EIOPA has decided to calculate and publish this specific RFR curve using current underlying interest rates as of 31st of March 2022.

EIOPA will continue monitoring the situation and reliability of the interest rates and the trading of government bonds in Russian Roubles.

RFR technical information has been calculated on the basis of the updated representative portfolios published on 3 November 2021 and the content of the 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 2022, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

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