EIOPA Publishes Instrument Codes for Calculations Under Solvency II

By Regulatory News

July 26, 2019

Solvency II

EIOPA plans to use Refinitiv as the main source of the risk-free interest rates (RFR) production process from January 01, 2020. It also published the list of Reuters Instrument Codes, or RICs, of financial market data for the calculation of the technical information related to the Solvency II RFR term structures. Stakeholders are invited to comment on the Reuters Instrument Codes chosen by EIOPA or submit any comment on the process until August 16, 2019. Post this, a revised RFR technical documentation can be expected to be published by the end of third quarter of 2019.

The published instruments are provided by Refinitiv and were sufficiently tested, validated, and deemed proper replacements for the currently used ones. From January 01, 2020, EIOPA plans to use Refinitiv as the main source of the RFR production process. Hence, the first publication of the technical information using this data would be for the reference date January 31, 2020. The technical information related to the RFR term structures is used for the calculation of the technical provisions for (re)insurance obligations. EIOPA has published the Reuters Instrument Codes for the calculation of technical information related to the RFR term structures, namely of the following rates:

Interest rate swap rates
Zero coupon government bond interest rates
Inter-bank offered rates
Overnight indexed swap rates
Additional data necessary for calculation of the volatility adjustment

Related Links

Comment Due Date: August 16, 2019

Keywords: Europe, EU, Insurance, Reinsurance, Solvency II, Reuters Instruments Code, Technical Information, Refinitive, Risk Free Interest Rate, RFR, EIOPA

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