EIOPA has published technical information on the relevant risk-free interest rate term structures (RFR) with reference to the end of September 2016.
The technical information is calculated according to the technical documentation and coding released on 30 September 2016.
EIOPA’s technical information on the relevant RFR term structures are published every month in a dedicated web-section, which also contains the provisional release calendar for 2016, the RFR technical documentation, the RFR coding and answers to Frequently Asked Questions.
Background
Since February 2015 EIOPA has published technical information on the RFR term structures as well as – after having previously consulted on – the technical documentation with a complete description of the inputs, assumptions and methodology applied.
The legal basis for the publication of the technical information is laid out in Article 77e(1) of Directive 2009/138/EC (Solvency II Directive).
Source: Actuarial Association of Europe AAE