The European Insurance and Occupational Pensions Authority has published updated technical documentation for calculating risk-free interest rate term structures (RFR), removing the 19-year euro Interest Rate Swap (IRS) tenor as an input instrument from 30 June 2025. The change is intended to address volatility in the extrapolated part of the euro risk-free rate curve linked to declining liquidity at that tenor. The 19-year euro IRS had been the penultimate liquid point before the euro last liquid point (LLP) of 20 years, with the spread between those tenors determining the slope of the extrapolated portion of the term structure. Following the removal of the 19-year tenor, the 15-year tenor will become the new penultimate liquid point before the euro LLP. The updated documentation will be applicable from 30 June 2025, with the first calculation under the revised approach scheduled for end-June 2025. EIOPA publishes RFR technical information monthly for use in calculating technical provisions for (re)insurance obligations, alongside supporting documentation, coding and FAQs.
European Insurance and Occupational Pensions Authority 2025-06-23
European Insurance and Occupational Pensions Authority updates risk-free rate methodology to drop the 19-year euro IRS from 30 June 2025
The European Insurance and Occupational Pensions Authority has updated its technical documentation for calculating risk-free interest rate term structures, removing the 19-year euro Interest Rate Swap tenor from 30 June 2025. This change aims to address volatility in the euro risk-free rate curve due to declining liquidity. The 15-year tenor will now serve as the penultimate liquid point before the euro last liquid point of 20 years.