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06 March 2018

EIOPA publishes monthly technical information for Solvency II relevant Risk Free Interest Rate Term Structures – end-February 2018


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 February 2018.

The following corrections and adjustments, in line with paragraph 115 of the Technical Documentation, were required after consultation and confirmation by the data provider:

  • The GBP 45-year swap rate has been removed from the input market data for the period from 10 to 28 February 2018 as due to insufficient liquidity no consistent pricing was possible for this rate.
  • The HUF 1-year government bond rate showed some spurious behaviour at the 15 and 28 of February 2018 and has been removed from the market data by the data provider.

This RFR information is based on the updated Technical Documentation published on 1 February 2018.

Monthly technical information



© EIOPA


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