Today the European Insurance and Occupational Pensions Authority (EIOPA) publishes an updated RFR Technical Documentation for calculating the risk-free interest rate term structures (RFR).
An overview of the changes and their nature is provided in the technical documentation and are related to the changed liquidity of the 19Y Euro Interest Rate Swap (IRS). This tenor point is no longer to be used as input instrument for the Euro risk-free rate term structures as of June 30, 2025.
The 19Y Euro IRS is currently the penultimate liquid point before the last liquid point (LLP) of 20Y for the Euro. The spread between these two points determines the slope of the extrapolated part of the Euro risk-free rate term structure. Due to the decreased liquidity of the 19Y tenor point the extrapolated part of the risk-free rate term structure started to show unwanted volatility. Due to the removal of the 19Y tenor point the 15Y tenor point will become the new penultimate liquid point before the LLP of the Euro.
The new date for the updated technical RFR documentation to become applicable is set for 30 June 2025. Therefore, the first calculation based on the updated technical RFR documentation will be end of June 2025.
Background
Technical information relating to risk-free interest rate (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 relating to RFR term structures monthly via a dedicated section on EIOPA’s website also containing the provisional release calendar for 2025, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.
By this publication EIOPA ensures consistent calculation of technical provisions across Europe.