The update is based on the amendments to the new risk-free rate technical documentation published on 31 May 2016.
These amendments were done to avoid the impact of negative euro swap rates on the calculation of the credit risk adjustment to the RFR and to reflect the removal of Thai baht interest rate swaps for the maturities of 6, 8 and 9 years from the list of instruments used to derive the RFR for the Thai baht. More details are available here.
The updated coding file outlines the respective changes and also provides the whole coding version for the convenience of market participants.
Click here to view the updated coding for the Solvency II RFR and the monthly technical information.
Background
Since February 2015 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.
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).
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