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European Insurance and Occupational Pensions Authority

3260

Q&A

Question ID: 3260

Regulation Reference: (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)

Topic: Risk Free Rate (RFR)

Article: N/A

Status: Rejected

Date of submission: 17 Feb 2025

Question

Our question relates to the swap market data utilized to construct the risk-free rate curve. According to the documentation available at https://www.eiopa.europa.eu/document/download/71e6f092-d03d-482c-8242-8ee920410747_en?filename=EIOPA-BoS-23-433-RFR%20Technical%20Documentation.pdf, Refinitiv is currently the provider listed, with the following caveat: “EIOPA has no evidence of the superiority of a concrete market data provider. The choice of market data providers included in this technical documentation are disclosed only for the purposes of transparency (recital 23 of the Delegated Regulation)” With stricter production constraints like S2 and IFRS 17, market players aim to forecast the risk-free rate curve by D+1. In this context, to secure the data supply, would the use of an alternative market data provider be acceptable to build the risk-free rate curve for valuing technical provisions? If so, what tolerance thresholds would be considered admissible?

EIOPA answer

This question has been rejected because the matter it refers to has been answered in Q&A 2899 - EIOPA.