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 February 2018.
The following corrections and adjustments, in line with paragraph 115 of the Technical Documentation, were required after consultation and confirmation by the data provider:
- The GBP 45-year swap rate has been removed from the input market data for the period from 10 to 28 February 2018 as due to insufficient liquidity no consistent pricing was possible for this rate.
- The HUF 1-year government bond rate showed some spurious behaviour at the 15 and 28 of February 2018 and has been removed from the market data by the data provider.
This RFR information is based on the updated Technical Documentation published on 1 February 2018.
The documents can be obtained via the dedicated web-section.
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.