EIOPA preliminary work on risk-free rate transition

Summary

EIOPA has provided the secretariat of Insurance Europe with a presentation,  which outlines its initial work on the implications on the EIOPA RFR curves of the transition away from Interbank Offer Rates (IBOR).

EIOPA-IBOR transitions.pdf

EIOPA has identified the following two key areas of consideration in its analysis:

1. Impact on the Credit Risk Adjustment (CRA)

2. Impact on the DLT assessment