Risk Free Rate (RFR)

Thank you for your question on the construction of risk-free rates for which EIOPA ceased its publication as of January 2025.Paragraph 6.5 of EIOPA’s RFR Technical Documentation states that for such currencies the methodology described in the RFR Technical Document should be applied taking into account the following:In case of lack of reliable financial market data to apply the methodology, it is expected that insurance and reinsurance undertakings, the relevant EEA supervisor and the supervisor of the corresponding country will have a dialogue to derive appropriate technical information. For that purpose, the use of the basic risk-free interest rate term structures of economies sufficiently similar or inter-linked, may be an option, provided that any adjustment to the term structure used as reference is made under a prudent and objective process, and it is compatible with the methodology described in the RFR Technical Document.