EIOPA · 3260

Risk Free Rate (RFR)

Regulation
(EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
Article
N/A
Topic
Risk Free Rate (RFR)
Submitted
2025-02-17
Answered
2025-03-13

Question

Our question relates to the swap market data utilized to construct the risk-free rate curve. According to the documentation available at https://www.eiopa.europa.eu/document/download/71e6f092-d03d-482c-8242-8ee920410747_en?filename=EIOPA-BoS-23-433-RFR%20Technical%20Documentation.pdf, Refinitiv is currently the provider listed, with the following caveat: “EIOPA has no evidence of the superiority of a concrete market data provider. The choice of market data providers included in this technical documentation are disclosed only for the purposes of transparency (recital 23 of the Delegated Regulation)” With stricter production constraints like S2 and IFRS 17, market players aim to forecast the risk-free rate curve by D+1. In this context, to secure the data supply, would the use of an alternative market data provider be acceptable to build the risk-free rate curve for valuing technical provisions? If so, what tolerance thresholds would be considered admissible?

Answer

This question has been rejected because the matter it refers to has been answered in Q&A 2899 - EIOPA.

This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

More Q&As on this topic

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

14-day free trial. No credit card required.