EIOPA · 1280
1280
- Regulation
- Risk-Free Interest Rate - General questions
- Article
- 43
- Submitted
- 2018-04-24
- Answered
- 2019-10-24
Question
Regarding the updated methodogy for claculating the UFR, I would ask to know why did you use the nominal short term intrest rate and not the long term, as the UFR should represent the long term RFR?
Answer
According to Article 47 of Commission Relegated Regulation (EU) 2015/35 the UFR should not include a term premium to reflect the additional risk of holding long-term investments. In order to avoid that the UFR includes a term premium nominal short term interest rates are used in the calculation of the UFR.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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