Today the European Insurance and Occupational Pensions Authority (EIOPA) publishes an updated technical documentation for calculating the risk-free interest rate term structures (RFR).
An overview of the changes and their nature is provided in the technical documentation and focuses on the assessment of the currencies and financial instruments used for constructing the RFR-information.
From 1 January 2025 onwards, EIOPA will cease the publication of technical information for the following 11 non-EEA currencies: Brazilian real (BRL), Chilean peso (CLP), Indian rupee (INR), South Korean won (KRW), Malaysian ringgit (MYR), Mexican peso (MXN), New Zealand dollar (NZD), Singapore dollar (SGD), South African rand (ZAR), Thai baht (THB) and Turkish lira (TRY). Based on the assessment conducted according to article 5.2 of the RFR Technical Documentation, those currencies are not included in the list of material currencies for the EU-insurance sector.
The new date for the updated technical RFR documentation to become applicable is set for 1 January 2025. Therefore, the first calculation based on the updated technical RFR documentation will be end of January 2025.
Until the end of this year, the current version of the technical RFR documentation will apply.
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 2024, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.
By this publication EIOPA ensures consistent calculation of technical provisions across Europe.
Details
- Publication date
- 24 September 2024