EIOPA starts publishing shocked risk-free rates for duration calculation in financial stability reporting

The European Insurance and Occupational Pensions Authority (EIOPA) published today its first shocked risk-free interest rate term structures (RFR). These term structures are used to calculate the “Option-adjusted” duration of technical provisions to be reported in the context of the Guidelines for reporting for financial stability purposes (S.38.01.11 - Duration of technical provisions).

The shocked RFR aims to ensure consistent calculation of the “Option-adjusted” duration. EIOPA will update the term structures and publish them twice a year on its website. The next update is coming in July 2024.

Notes

While the reporting of the “Option-adjusted” duration is optional, insurance undertakings and groups should consider the need to report this duration metric in dialogue with their national supervisory authority in case of material optionalities embedded in their technical provisions.