EIOPA published an updated technical documentation for deriving the EIOPA risk-free rates with the results of the Deep Liquid and Transparent (DLT) assessment. It also contains the updated representative portfolios for the volatility adjustment (VA).
The changes include:
- Changes to the inputs for the RFR rates due to DLT assessment for multiple currencies: EUR, NOK, ISK, HRK, RON, SEK, HUF, AUD, GBP, JPY and MXN.
- For EUR RFR: Removal of 13 year and 14 year swaps from Euro RFR.
- Reclassification of GBP as a non-EEA currency.