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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 May 2016. The technical information is calculated according to the coding released in February 2016 and updated today. |
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. |
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