EIOPA: updated technical methodology documentation for RFR term structures for Solvency II

EIOPA has today published an update of the technical documentation of the methodology to derive the risk-free interest rate term structures (see here). The update relates to changes of the financial instruments used to derive the risk-free interest rates to reflect market developments, and is in line with the announcement of 1 July 2016 (see here). EIOPA decided not to change the financial instruments to derive the risk-free interest rates for the Swiss franc.

EIOPA also updated one of the output files in the end-November 2016 RFR monthly publication. The file “EIOPA_RFR_20161130_VA_portfolios” was replaced in line with the update of representative portfolios of September 2016. Part of the end-November RFR was based on the portfolio before this update. This has had no impact on the published volatility adjustments. Also the risk-free interest rates and the fundamental spreads were not affected.