EIOPA has modified the methodology for calculating the relevant risk-free interest rate term structures for Solvency 2. EIOPA has decided to amend the methodology so that:

  • the selection of financial instruments used to derive the basic risk-free interest rate term structures will be aligned to recent market developments; and
  • the treatment of government bonds issued by countries of the European Economic Area that are not Member States of the EU will be aligned to the treatment of government bonds issued by Member States when calculating the volatility adjustment and the fundamental spread.

The modifications will take effect from the November monthly publication of structures. (Source: EIOPA Modifies Solvency 2 Term Structures Methodology)