EIOPA updates the technical documentation of the methodology to derive the risk-free interest rate term structure

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 government bond tickers for Bulgaria, China, India, South Africa, Taiwan and Thailand are discontinued by the data provider and are replaced accordingly. The new tickers are applied for reference dates as of 1 February 2017.

The annual update of the transition matrices for the calculation of the fundamental spreads in January 2017 was reflected in the technical documentation.

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