Parallel publication of the monthly technical information relating to RFR following the approach for Interbank Offered Rates transitions

As of November 2021, based on the published approach for the implementation of Interbank Offered Rates (IBOR) transitions, the European Insurance and Occupational Pensions Authority (EIOPA) will publish monthly calculations of the technical information relating to the risk-free interest rate (RFR) term structures in parallel to the current official published RFR information.

The dual run will be prior to the transition date as of January 2022, implementing the updated methodology for the calculation of the risk-free interest rates for the British pound, Swiss franc and Japanese yen.

This parallel publication will allow stakeholders to compare their own calculations with those conducted by EIOPA. It will be published in addition to the current official monthly technical information for the reference dates 31 October 2021, 30 November 2021 and 31 December 2021 in a dedicated section in EIOPA’s website, below Monthly Technical Information 2021.

Based on the updated technical documentation, these changes would be effective for calculations from 1 January 2022 onwards and applied for the first time in the production of the technical information for the reference date 31 January 2022.  

Stakeholders are invited to submit any comment on these publications by email to marketdata@eiopa.europa.eu at the latest by COB on Friday, 14 January 2022.

Background

The 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 the technical information relating to RFR term structures on a monthly basis via a dedicated section on EIOPA's Website. This section contains also the release calendar for future RFR production runs, the RFR Technical Documentation, the RFR software source code and Frequently Asked Questions.

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

Disclaimer

The publication of this information is intended to assist firms in analysing differences arising from the transition to the new RFR term structures, which are Sonia based for the GBP and government bond based for the CHF and the JPY. Until the end of 2021, firms should not use this indicative term structures for the purposes of complying with their Solvency II requirements.