The European Insurance and Occupational Pensions Authority (EIOPA) published today the shifted risk-free interest rate (RFR) term structures. These term structures are applied to calculate the option-adjusted duration of technical provisions, which must be reported according to the Guidelines on reporting for financial stability purposes (Template S.38.01.11 - Duration of technical provisions).
The shifted RFR term structures aim to ensure consistent calculation of the option-adjusted duration. The next update is planned for January 2025.
While the reporting of the option-adjusted duration is optional, insurers should consider the need to report this duration metric in dialogue with their national supervisory authority in case of material options embedded in their technical provisions.
The publication is available on the RFR dedicated section of the EIOPA website.
Details
- Publication date
- 3 July 2024