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

Published December 2016

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.

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