EIOPA publishes monthly technical information for Solvency II Relevant Risk Free Interest Rate Term Structures – end-February 2022

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 2022.

Compared with previous month, very low trading of Government bonds in roubles was observed, checked and confirmed by contrasted sources. This has the consequent impact on Rouble RFR curve with very big increases as of 28 February 2022.

Based on this and given the current uncertainty of financial market in Russia, caused by Russian military aggression against Ukraine, EIOPA has decided not to publish Rouble RFR term structure as of 28 February 2022. However, in order to support affected EEA undertakings to calculate Technical Provisions for this currency, the information related to the process of end-January 2022 was used in the February process for the Rouble RFR curve.

RFR technical information has been calculated on the basis of the content of the technical documentation under Background material and based on RFR coding released on 8 October 2019.

All the documents are available on RFR specific area on EIOPA's website. In particular, the updated version of the source code can be accessed under Related links in the RFR area.

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 release calendar for 2022, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

With this publication, EIOPA ensures consistent calculation of technical provisions across Europe.