EIOPA · 1374
Risk Free Rate (RFR)
- Regulation
- Risk-Free Interest Rate - General questions
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2018-06-26
- Answered
- 2019-10-24
Question
Could you plwase send us a list of vendors, from which data are used in the following files?
EIOPA_RFR_YYYYMMDD_TERM_STRUCTURE.xlsxEIOPA_RFR_YYYYMMDD_PD_COD.xls
I undestood we would need a direct license, but it's not clear to me, for which.
Answer
Thank you for your question on the implementation of the RFR calculation.
Please be informed that for the term structure (EIOPA_RFR_YYYYMMDD_TERM_STRUCTURE.xlsx), Bloomberg data is used.For the “Probability of Default/Cost of Downgrade” (EIOPA_RFR_YYYYMMDD_PD_COD.xls), data from Bloomberg, Markit and Standard&Poor’s is used.
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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