EIOPA published the ‘Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures’
https://eiopa.europa.eu/Publications/Standards/Technical Documentation %2831 Jan 2018%29.pdf
EIOPA has changed the methodology to calculate the risk-free interest rate term structures as follows:
– The ticker for Swiss franc OIS rates was replaced (page 33).
– The description of the derivation of the UFR was updated and clarifications were included with regard to the treatment of Icelandic government bonds (page 24) and the calculation of the long-term average spread (page 68).