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 July 2020.
RFR information has been calculated applying the content of the Technical Documentation published on 1 October 2019 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.
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 release calendar for 2020, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.
With this publication, EIOPA ensures consistent calculation of technical provisions across Europe.