Q&A

Question

Could you plwase send us a list of vendors, from which data are used in the following files?

EIOPA_RFR_YYYYMMDD_TERM_STRUCTURE.xlsx
EIOPA_RFR_YYYYMMDD_PD_COD.xls

I undestood we would need a direct license, but it's not clear to me, for which.

EIOPA 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.