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EIOPA publishes monthly technical information for Solvency II Relevant Risk Free Interest Rate Term Structures – end-January 2018
06/02/2018 15:05

​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 January 2018.

The RFR information is based on the updated Technical Documentation published on 1 February 2018 and includes changes to the methodology to calculate the risk-free interest rates by replacing the data source for Swiss franc overnight indexed swap rates. The replacement was necessary since the data source is no longer available.

For the first time the risk-free interest rates were calculated with Ultimate Forward Rates (UFRs) derived in accordance with the UFR methodology published by EIOPA in April 2017. The UFR applied to the euro decreased from 4.2% to 4.05%.

Furthermore, the regular annual update of the transition matrices to calculate the fundamental spreads and the volatility adjustments was carried out.

The relevant documentation can be found on the dedicated web-section.

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 2018, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

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