EIOPA Publishes Monthly Technical Information for Solvency II Relevant Risk-Free Interest Rate Term Structures: End-March 2017
07/04/2017 14:00

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 2017.

This RFR information is based on the updated Technical Documentation published on 31 March 2017.

The update includes the following changes:

  • As of 1 March 2017 the government bond ticker for Romania - so far the ticker used was yield to maturity rates (YTM) - is replaced by a zero coupon bond rates (ZCB). This new ticker - recently provided by the data provider - is more adequate for the calculation of the Romanian risk-free interest rates. The expected impact on the Romanian risk-free interest rates is small.
  • The tickers for interbank offered rates and the overnight index swap rates (OIS) for the Japanese yen listed in the Technical Documentation were inconsistent with the data used in the calculation and have been corrected with the update. This correction has no impact on the size of the Japanese risk-free interest rates.

The related information can be obtained via the dedicated section on EIOPA's Website.


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 2017, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

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