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EIOPA alerts on upcoming publication of Russian rouble RFR term structure – end March 2022

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EIOPA will publish Russian rouble RFR term structures for end-March 2022 based on the most recent and reliable information according to the RFR methodology. Furthermore, EIOPA is checking the evolution of interest rates and the trading of government bonds in Russian rouble on a daily basis during March.

While Russian government bond rates, necessary for the construction of the rouble RFR curve, were not available from the market data provider in the beginning of March, they have become available again recently. Against this background, EIOPA has decided to continue monitoring the situation and reliability of the observations until the end of March.

Furthermore, information on the underlying interest rates used for the Russian rouble RFR curve for this process will be provided in the usual web alert together with the RFR information in order to support affected EEA undertakings to calculate technical provisions for this currency.

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 on a monthly basis via a dedicated section on EIOPA's website also containing the release calendar for 2022, the RFR Technical Documentation, the RFR coding and Frequently Asked Questions.

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