EIOPA · 3264
Risk Free Rate (RFR)
- Regulation
- Risk-Free Interest Rate - Extrapolation, Risk-Free Interest Rate - Financial market data
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2025-02-19
- Answered
- 2025-03-24
Question
I downloaded the 'Risk-Free Interest Coding' provided by EIOPA and used part of it to calculate the 'risk-free Term Structures without VA for EUR'. The results are reasonable, but they do not match the monthly results published by EIOPA (e.g., EUR_31_01_2025_SWP_LLP_20_EXT_40_UFR_3.30). My question has two parts: 1. Is the downloadable code the same as the one used to produce the monthly published RFR data? 2. Is there a Bloomberg ticker that matches the Refinitiv RIC 'EURAB6EIRS=' according to the RFR Technical Documentation (EIOPA-BoS-24-533)?
Answer
Although the current version of the code has evolved since the last publication on our website, the code of the basic risk-free interest rate term structures is essentially still the same.Please be aware that some of the inputs to the calculation like DLT-definitions, UFR etc can get updated from year to year. For the latest inputs please see EIOPA’s Technical Documentation.EIOPA uses Bloomberg for additional internal validations. The euro swap curves closest to the Refinitiv data are based on tickers like EUSA2 BGN Curncy, EUSA3 BGN Curncy etc. However, the quotes don’t necessarily coincide exactly with the data received from Refinitiv and can’t be expected to yield the same risk-free interest rate term structures.
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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