Featured Product

    EIOPA Updates Methodology for RFR Calculation Under Solvency II

    October 08, 2019

    EIOPA updated technical documentation of the methodology to derive the EIOPA risk-free interest rate term structures under Solvency II. Also published was the first parallel calculation on the relevant risk-free interest rate (RFR) term structures with reference to the end of September 2019; this calculation is based on the Refinitiv data and an updated version of the source code used for the monthly RFR term structures calculation. This parallel publication will allow stakeholders to compare their own calculations with those of EIOPA before use of Refinitiv as the main source of market data for the RFR term structures calculation becomes official. Stakeholders can submit comment on these publications by January 15, 2020.

    The new risk-free rate methodology reflects changes in the main market data provider. It also includes updates due to the depth, liquidity, and transparency assessment of the financial market instruments used in the calculation of the term structures. The updated technical documentation would be effective for calculations from January 01, 2020 onward and applied for the first time in the production of the technical information for the reference date January 31, 2020. As of then, EIOPA will use Refinitiv as the main source for the RFR production process.

    The RFR information with reference to the end of September 2019 and the RFR coding reflect the content of the technical documentation of the methodology to derive RFR term structures. The new risk-free rate methodology reflects changes in the main market data provider.The intended frequency of publication of the risk-free interest rate is monthly. Such a frequency will enable undertakings to have a common basis for calculating the value of the financial information they are required to report to their supervisor on a quarterly and annual basis.

    Technical information in 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 related to RFR term structures on a monthly basis. This is intended to ensure consistent calculation of technical provisions across Europe and, thus, higher supervisory convergence for the benefit of the European insurance policyholders.

     

    Related Links

    Keywords: Europe, EU, Insurance, Reinsurance, Solvency II, Risk Free Interest Rate, Reporting, Refinitv Data, RFR Calculation, RFR Coding, EIOPA ‘

    Featured Experts
    Related Articles
    News

    PRA to Elaborate on Approach to Transposition of CRD5 by Mid-December

    PRA published a statement that explains when to expect further information on the PRA approach to transposing the Capital Requirements Directive (CRD5), including its approach to revisions to the definition of capital for Pillar 2A.

    November 30, 2020 WebPage Regulatory News
    News

    SRB Sets Out Work Program for 2021-2023

    SRB published the work program for 2021-2023, setting out a roadmap to further operationalize the Single Resolution Fund and to achieve robust resolvability of banks under its remit over the next three years.

    November 30, 2020 WebPage Regulatory News
    News

    EIOPA Consults on KPIs on Sustainability for Non-Financial Reporting

    EIOPA is consulting on the relevant ratios to be mandatorily disclosed by insurers and reinsurers falling within the scope of the Non-Financial Reporting Directive as well as on the methodologies to build these ratios.

    November 30, 2020 WebPage Regulatory News
    News

    US Agencies Issue Statement on LIBOR Transition

    US Agencies (FDIC, FED, and OCC) issued a joint statement encouraging banks to cease entering into new contracts that use USD LIBOR as a reference rate as soon as practicable and in any event by December 31, 2021, to facilitate an orderly LIBOR transition.

    November 30, 2020 WebPage Regulatory News
    News

    GHOS Endorses Coordinated Approach to Mitigate COVID Risks for Banks

    The Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS, endorsed a coordinated approach to mitigate COVID-19 risks to the global banking system.

    November 30, 2020 WebPage Regulatory News
    News

    HM Treasury Extends Consultation Dates for FRF and Solvency II Reviews

    HM Treasury extended the consultation period on Phase II of the Future Regulatory Framework (FRF) Review, from January 19, 2021 to February 19, 2021.

    November 30, 2020 WebPage Regulatory News
    News

    ECB Publishes Guide on Management of Climate and Environmental Risks

    ECB finalized guidance on the way it expects banks to prudently manage and transparently disclose climate and other environmental risks under the current prudential rules.

    November 27, 2020 WebPage Regulatory News
    News

    BCBS Amends Capital Treatment of Non-Performing Loan Securitizations

    BCBS published a technical amendment to the capital treatment of securitizations of non-performing loans by banks.

    November 26, 2020 WebPage Regulatory News
    News

    PRA Policy on Stressed VaR and RNIV Calculations Under Market Risk

    PRA published the policy statement PS23/20 on the calculation of stressed value at risk (sVAR) and risks not in value at risk (RNIV) under the market risk framework.

    November 26, 2020 WebPage Regulatory News
    News

    BoE to Move Statistical Data Collection to BEEDs Portal

    BoE announced that the Data and Statistics Division is planning to move collection of statistical data to the BoE Electronic Data Submission (BEEDS) portal.

    November 25, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 6179