The European Insurance and Occupational Pensions Authority (EIOPA) has published shifted risk-free interest rate (RFR) term structures to be used in calculating the option-adjusted duration of technical provisions for reporting under its financial stability reporting guidelines (Template S.38.01.11). The shifted RFR term structures are intended to support consistent calculation of the option-adjusted duration metric. Although reporting this duration measure is optional, insurers are encouraged to consider whether reporting is needed, in dialogue with their national supervisory authority, where technical provisions include material embedded options. EIOPA plans the next update of the shifted RFR term structures for January 2026.
European Insurance and Occupational Pensions Authority 2025-07-04
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) has released shifted risk-free interest rate term structures for calculating the option-adjusted duration of technical provisions under its financial stability reporting guidelines. Reporting this duration measure is optional, but insurers should consult their national supervisory authority if technical provisions include significant embedded options. The next update is scheduled for January 2026.