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 May 2015.
EIOPA also updated the list of answers to frequently asked questions with some refinements on the RFR calculations.
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.