EIOPA modifies the methodology for calculating the relevant risk-free interest rate term structures for Solvency II
19/06/2015 12:00

Since February 2015 EIOPA publishes on a monthly basis relevant risk-free interest rate term structures that are based on the Solvency II Directive. The methodology for deriving those term structures is set out in a technical documentation published on EIOPA's website.

EIOPA has decided to slightly modify the methodology for calculating the term structures. The modification relates to the daily fixing times of the swap rates, overnight indexed swap rates and government bond rates that the calculation is based on.

In the future the fixing time for different currencies will be as follows:

  • for European and African currencies - London market closing time;
  • for currencies of Asia and Australia - Tokyo market closing time;
  • for American currencies - New York market  closing time (remains unchanged).

The aim of the change is to improve the reliability of the market rates used in the calculation by determining them at times of high trading activity. The average impact of the change on the term structures is expected to be very low.

The modified methodology will be applied for the first time for the derivation of the term structures of end-June 2015, which will be published in July 2015. The technical documentation has been updated to reflect the modification.

EIOPA will continue reviewing the methodology to implement any necessary changes in time before the start of Solvency II on 1 January 2016.

Click here‚Äč to view the documentation.