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 October 2019.
In addition, EIOPA also published today the second parallel technical information on the relevant risk free interest rate term structures (RFR) with reference to the end of October 2019 based on Refinitiv data.
This parallel publication reflects the content of the Technical Documentation published on 1 October 2019 and is based on RFR coding released on 8 October 2019, and will allow stakeholders to compare their own calculations with those conducted by EIOPA before the official publications for end of January 2020.
All the documents are available on EIOPA's website. In particular, the updated version of the source code can be accessed under Background Material.
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 release calendar for 2019, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.
With this publication, EIOPA ensures consistent calculation of technical provisions across Europe.