EIOPA publishes monthly technical information for Solvency II Relevant Risk Free Interest Rate Term Structures – end June 2024

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 June 2024.

The RFR information has been calculated on the basis of the Technical Documentation.

The risk-free interest rate term structures for the Russian rouble are based on data from 14 June 2024 due to the market data provider ceasing to update the relevant time series beyond this date. As the availability of data is unlikely to change and the Russian rouble has been identified as not meeting the criteria of a relevant currency according to the technical documentation (section 5.2), EIOPA will cease to publish these term structures starting from the reference date of 30 September 2024. All publication files will be adapted accordingly.

All the documents are available on the RFR dedicated section of the EIOPA website.

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 2024, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

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