Today the European Insurance and Occupational Pensions Authority (EIOPA) publishes an updated technical documentation for calculating the risk-free interest rate term structures (RFR).
An overview of the changes and their nature is provided in the technical documentation and focuses on the assessment of the financial instruments used for constructing the RFR-information, the Peer Country review for 2023, and a technical change in the calculation of the Credit Risk Adjustment for some currencies.
The new date for the updated technical RFR documentation to become applicable is set for 1 January 2024. Therefore, the first calculation based on the updated technical RFR documentation will be end of January 2024.
Until the end of this year, the current version of the technical RFR documentation will apply.
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 provisional release calendar for 2023, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.
By this publication EIOPA ensures consistent calculation of technical provisions across Europe.
Details
- Publication date
- 2 October 2023