EIOPA updates RFR Technical Documentation 
  • Tuesday, 29 November 2022

EIOPA updates RFR Technical Documentation 

EIOPA has published the updated Technical Documentation of the methodology to derive EIOPA’s risk-free interest rate term structures. The changes follow from the Deep Liquid and Transparent (DLT) assessment 2022 and relate to:

  • The calculation of the Credit Risk Adjustment
  • The Peer Country Review from the first quarter of 2022
  • A change of the Danish Nykredit Index used for the calculation of the Danish Volatility Adjustment (VA)

The changes will become effective from January 2023 onwards.