The European Insurance and Occupational Pensions Authority (EIOPA) publishes first parallel calculation for Solvency II Relevant Risk Free Interest Rate Term Structures – end-September 2019 based on Refinitiv data and updates the source code for the monthly risk-free interest rate term structures (RFR) calculation.

This parallel publication will allow stakeholders to compare their own calculations with those conducted by EIOPA before the use of Refinitiv as main source of market data for the RFR calculation becomes official for end of January 2020.

Both the RFR information with reference to end of September 2019 and the RFR coding released today reflect the content of the Technical Documentation published on 1 October 2019.

All the documents are available on EIOPA’s website. In particular, the updated version of the source code can be accessed under “Background Material.

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 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 2019, the RFR Technical Documentation, the RFR software source code and Frequently Asked Questions.

By this publication EIOPA ensures consistent calculation of technical provisions across Europe.”

 Source: EIOPA