Risk Free Rate (RFR)

All background information on the methodology to derive the risk-free-rates can be found in our Technical Documentation available on our website. Please note that this version of the Technical Documentation is valid until the end of 2022 only. The updated version applicable from January 2023 is available on our website as well. The Technical Documentation also provides the information on the input data to be used to derive the risk-free-rate term structures: Art. 3.A.60 provides an overview of the several market data providers used in the production of the risk-free-rates; Art. 3.C.68 provides in Table 2 an overview of the type of input instrument used (government bond/swap) and their respective tickers from Refinitiv (RIC-codes) to access the data from their systems; Art.4.B.78 and Art.4.C.82 provide an overview of the tenor points to be used as input, including the Last Liquid Points. These tenor points refer to the type of instrument from Art.3.C.68.   For replicating any of our published term structures as of 31-12-2021, and/or analysing sensitivities regarding different values for the UFR, you also need the Credit Risk Adjustments (CRA) and the Volatility Adjustments (VA) (if applicable) as of that date. You can take these directly from our monthly publication for December 2021 available here. The level of the UFR does not affect the CRA and/or VA. Please note that in order to be able to get data from Refinitiv you need to have a subscription to their services (fee-liable). For the main currencies like EUR, GBP and USD market data from Bloomberg will work as well, but might lead to small deviations.