Skip to main content
European Insurance and Occupational Pensions Authority

1455

Q&A

Question ID: 1455

Regulation Reference: Risk-Free Interest Rate - General questions

Article: 43

Status: Final

Date of submission: 24 Apr 2018

Question

Currently EIOPA publishes interest rates for selected countries. For us as in international reinsurance company this includes most of the material countries with the exception of the United Arabian Emirates (CCY: AED) and Israel (CCY: ILS).

Is EIOPA planning to provide risk free interest rate for these countries/currencies going forward, e.g. for year-end 2017 or later? If not is there a reasons why no risk free rate is provided?

EIOPA answer

EIOPA reviews on an annual basis the list of currencies for which risk-free interest rates are provided. In line with section 3.B of the technical documentation on the derivation of the risk-free interest rates (https://www.eiopa.europa.eu/sites/default/files/publications/technical_standards/technical_documentation_31_jan_2018_0.pdf), we considers in the review in particular the materiality of currencies for the EU insurance sector and whether reliable and adequate financial market data are publicly available to perform the necessary calculations.

The review carried out in 2017 did not result in a change to the list of relevant currencies. No new currencies were added because no material exposure to any currency currently not on the list was identified. Materiality was checked with regard to the overall technical provisions of the EU insurance and reinsurance undertakings and insurance groups denominated in a currency and with regard to the number of undertakings and groups with a significant portion of their technical provisions denominated in a currency. Exposures to the UAE dirham and the shekel were identified, but both in terms of overall amount and number of undertakings significantly exposed the exposure was not considered material enough to add the currencies to the list.