EIOPA published a new document with the Technical documentation of the methodology to derive EIOPA’s RFR term structures (here).
The changes proposed in the document are in line with those taken forward in the IBOR transition consultation.
The main changes in the document are:
- The financial instruments applied for the RFR have been switched from swaps to government bonds for LI, CH and JP.
- The LLP for CHF and GBP have been switched from 25 to 15 years and 50 to 30 years respectively.
- JPY LIBOR has been introduced with unchanged LLP of 30 years.
- Changes in the intermediate points for multiple currencies.
- Credit Risk Adjustment:
- The following paragraph has been added: ‘In the case of risk-free interest rate term structures based on overnight indexed swaps (OIS), no CRA is applied due to negligible credit risk.’
- It has been specified that for CHF the same CRA as for the euro applies.
- For currencies with DLT overnight indexed swap markets:
- CHF and JPY have been removed.
- RIC of EONIA has been replaced with the RIC of ESTR.
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