Today, the European Insurance and Occupational Pensions Authority (EIOPA) published technical information on the relevant risk free interest rate term structures (RFR) with reference to the end of January 2016.
The technical information is calculated according to the coding released in December 2015 and updated today. The two updates made refer to the planned changes due to the turn of the year: the calculation of the long-term average spread (LTAS) and the use of the transition matrices.
Furthermore, the transition matrices that EIOPA used internally in order to calculate the fundamental spreads and the volatility adjustments have also been updated to include data for the year 2015. This update has been foreseen in paragraph 321 of the RFR technical documentation.
The updated coding file will point out the specific coding changes with regards to the LTAS but also provide the whole version for the convenience of the market participants.
Click here to view the updated coding for the Solvency II RFR, the monthly technical information and an updated list of answers to Frequently Asked Questions.
Since February 2015, as a preparatory phase, EIOPA has published technical information on the RFR term structures as well as – after having previously consulted on – the technical documentation with a complete description of the inputs, assumptions and methodology applied. Click here to view the documentation.
The legal basis for the publication of the technical information is laid out in Article 77e(1) of Directive 2009/138/EC (Solvency II Directive).