EIOPA · 2011
Risk Free Rate (RFR)
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- Article 37(1)
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2019-07-21
- Answered
- 2020-01-15
Question
Does the risk-free rate referenced for discounting the cashflows in the formula in paragraph 1 of article 37 include the use of UFR?
Answer
Consistent with the Answer to Q&A2010 , the risk free rate used to calculate the denominator of the risk margin should come from the data published monthly by EIOPA. This Risk-Free Interest Rate Term Structures can be found here : https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures-0_en
Those curves are built upon a methodology that relies on the definition of an Ultimate Forward Rate.
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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