The European Insurance and Occupational Pensions Authority (EIOPA) has published the Technical Information on the relevant risk free interest rate term structures (RFR) to be applied by (re)insurance undertakings in the calculation of their technical provisions with reference to the end of July 2015.
EIOPA has also updated the Technical Information for end-December 2014, which now takes into account an amendment to the methodology made in April 2015. More details on this amendment as well as some additional refinements on the RFR calculations are included in the updated list of answers to frequently asked questions. The updated end-December 2014 curves will further facilitate specific preparatory steps for Solvency II.
The update is released under a dedicated section of EIOPA's website, which contains the Technical Information published since December 2014, and the Technical Documentation with a complete description of the inputs, assumptions and methodology applied;
Click here to view the documentation.
The main legal basis of this publication is Article 77e(1) of Directive 2009/138/EC (Solvency II Directive) and Recital 23 of the Delegated Regulation of Solvency II.