The European Insurance and Occupational Pensions Authority (EIOPA) has published the shifted risk-free interest rate (RFR) term structures used to calculate the option-adjusted duration of technical provisions for financial stability reporting. The shifted RFR term structures are intended to support consistent calculation of this metric for reporting under EIOPA’s Guidelines on reporting for financial stability purposes, specifically Template S.38.01.11 (Duration of technical provisions). Reporting the option-adjusted duration remains optional, but insurers are asked to consider whether to report it, in discussion with their national supervisory authority, where technical provisions contain material embedded options. EIOPA plans the next update of the shifted RFR term structures for July 2025.
European Insurance and Occupational Pensions Authority 2025-01-08
European Insurance and Occupational Pensions Authority publishes shifted risk-free interest rate term structures for option-adjusted duration reporting
The European Insurance and Occupational Pensions Authority (EIOPA) released shifted risk-free interest rate term structures for calculating the option-adjusted duration of technical provisions in financial stability reporting. These structures ensure consistent reporting under EIOPA’s Guidelines, specifically Template S.38.01.11. Insurers are encouraged to discuss with national supervisory authorities the optional reporting of this duration when technical provisions include significant embedded options.