Methodology to determine the relevant risk-free interest rate term structure

Article 77e of the Solvency II Directive requires European Insurance and Occupational Pensions Authority (EIOPA) to lay down information relating to the relevant risk-free interest rate term structure to calculate the best estimate. EIOPA publishes that information regularly on its website. The Commission may adopt implementing acts to set out relevant risk-free interest rate term structures for mandatory use by insurance and reinsurance undertakings.

Since 2019, the amended Delegated Regulation (EU) 2015/35 requires EIOPA to inform the Commission of any substantial change in the data used for determining the technical information on the relevant risk-free interest term structure. Where deemed necessary, EIOPA may propose modifications to the techniques, data specifications and parameters used for determining the technical information on the relevant risk-free interest rate term structure. Modifications related to substantial changes in the data can only be implemented where requested by the Commission.

Since this new procedure was put in place, the Commission has requested the following modifications.