Europejski Urząd Nadzoru Ubezpieczeń i Pracowniczych Programów Emerytalnych (European Insurance and Occupational Pensions Authority - EIOPA), Dokumentacja techniczna metodologii struktury terminowej stopy procentowej wolnej od ryzyka

EIOPA-BoS-22-409

September 2022

Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures

Letter of the Executive Director

Solvency II aims at implementing an economic and risk-based supervisory framework in the field of insurance and reinsurance. The framework is built upon three pillars, all equally relevant, that provide for quantitative requirements (Pillar 1), qualitative requirements (Pillar 2) and enhanced transparency and disclosure (Pillar 3).

The starting point in Solvency II is the economic valuation of the whole balance sheet, where all assets and liabilities are valued according to market consistent principles.

The risk-free interest rate term structure (hereafter in this letter, risk-free interest rate) underpins the calculation of liabilities by insurance and reinsurance undertakings. EIOPA is required to publish the risk-free interest rate.

This technical document sets out the basis on which it will do so. It is the result of...