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European Insurance and Occupational Pensions Authority
News article31 January 2017

EIOPA published today an update of the technical documentation of the methodology to derive the RFR term structures

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The European Insurance and Occupational Pensions Authority (EIOPA) published today an update of the technical documentation of the methodology to derive the risk-free interest rate term structures (see here).

The update includes the following changes:

  • The use of the input data for the derivation of the risk-free interest rates for the Mexican peso was aligned with the maturity of the underlying financial instruments.
  • The peer country that is used to derive the fundamental spreads for Latvian government bonds was changed from Spain to Ireland to reflect market developments with regard to the government bond yields of these countries. The fundamental spread is used to calculate the matching adjustment and the volatility adjustment to the risk-free interest rates.

The changes will be taken into account in the production of the technical information for end of January 2017.

Details

Publication date
31 January 2017