Milliman has released a set of impact assessment yield curves in the context of the Solvency II review (here), aimed at illustrating the potential effects of the revised curve construction framework on insurers’ balance sheets. The curves are based on the most recent methodological proposals and have been developed jointly with S&P Global. They are updated on a quarterly basis, following the same publication calendar as EIOPA’s standard riskfree interest rate curves.
If interested, members may download the spreadsheet containing impact assessment curves through the following link.
Insurance Europe