{"text_format":"1","workbook":"xlsx","n_sheets":12,"sheets":["Overview","Gov Rates","Corp Data","RFR","LTAS","Reference Portfolio Weights","Government Bond Ref. Portfolios","Corporate Bond Ref. Portfolio","S&RC Gov Currency","S&RC Corp Currency","RCS","Disclaimer"],"not_rendered":{"charts":0,"images":1,"macros":1,"external_links":0,"defined_names":126,"comments":3,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Overview","index":0,"n_rows":40,"n_cols":13,"rows_kept":40,"cut":false,"hidden":false,"merged":[[39,5,39,11],[36,5,36,11],[35,5,35,11],[34,5,34,11],[7,5,13,11],[31,5,31,11],[32,5,32,11],[33,5,33,11]]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"RFR Risk-Corrected Spread Calculation for a Non-EEA Currency"]
[]
[null,null,null,null,null,"This workbook demonstrates the calculation of the risk-corrected spreads for the pound sterling.\nIt supports the RFR technical documentation section 9 and annexes E-G.\nThe workbook is based on the amendments to the Solvency II provisions set out in Directive (EU) 2025/2 and and Commission Delegated Regulation (EU) 2026/269."]
[]
[]
[]
[]
[]
[]
[null,null,null,null,null,"Version",null,"Last Change",null,null,"Legend"]
[null,null,null,null,null,1,null,"2026-05-19",null,null,"Input data"]
[null,null,null,null,null,null,null,null,null,null,"Intermediary calculation"]
[null,null,null,null,null,null,null,null,null,null,"Output data"]
[]
[]
[null,null,null,null,null,"Abbreviations"]
[null,null,null,null,null,"CORP","corporate bond",null,null,"RC","risk correction"]
[null,null,null,null,null,"CQS","credit quality step",null,null,"RCS","risk-corrected spread"]
[null,null,null,null,null,"GOV","government bond",null,null,"RFR","risk-free rate"]
[null,null,null,null,null,"IRR","internal rate of return",null,null,"S","spread"]
[null,null,null,null,null,"LTAS","long-term average spread",null,null,"Y","year"]
[null,null,null,null,null,"MV","market value"]
[]
[]
[null,null,null,null,null,"Description"]
[]
[null,null,null,null,null,"The calculation of the risk-corrected spreads are described in Directive (EU) 2025/2 of the European Parliament and of the Council amending Directive 2009/138/EC Article 77d, Commission Delegated Regulation (EU) 2015/35 Articles 49 to 51 (amended by Commission Delegated Regulation (EU) 2026/269) as well as EIOPA's RFR Technical Documentation (see section 'Background material' at https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures_en).\n"]
[null,null,null,null,null,"The input data consist of:\n - Reference portfolios,\n - Risk-free interest rates,\n - Government bond rates,\n - Corporate bond rates,\n - Long-term average spreads"]
[null,null,null,null,null,"For each reference portfolio, firstly, the individual spreads and risk-corrections are computed for each component. Then, in a second step, the internal effective rates for the yield, the risk-free rate as well as the risk-corrected yield are calculated on the portfolio level and combined to result in the portfolio spread and the portfolio risk correction."]
[null,null,null,null,null,"The overall risk-corrected spread at currency level is then computed by weighting the government bond and corporate bond reference portfolio spreads and risk-corrections and taking their differences. This forms the basis for the volatility adjustment calculation."]
[null,null,null,null,null,"This workbook exemplifies the calculation of the risk-corrected spreads relevant for the computation of the volatility adjustment to the basic risk-free interest rate term structure of a non-EEA currency (pound sterling) based on dummy data.\nThe necessary input data are shown in the marked input data worksheets. These data are then used for the spread and risk-correction calculations of the government bond and corporate bond currency reference portfolios. The final risk-corrected spreads are shown in the worksheet \"RCS\"."]
[null,null,null,null,null,"This workbook requires Microsoft Excel 2021 or higher (including Excel 365). VBA macros must be activated for the computation of the internal effective rates. The internal effective rates can be calculated either individually by pressing the respective button in the \"S&RC\" worksheets or calculated together by pressing the \"Calculate RCS\" button in the \"RCS\" worksheet."]
[null,null,null,null,null,"Implementation Details"]
[]
[null,null,null,null,null,"Named ranges have been used to enhance the transparency of the calculations. The naming convention used is as follows:\n\n- Prefix with \"R\" for ranges\n- Prefix with \"V\" for (scalar) values\n- Prefix with \"L\" for validation lists\n\n\nThe calculation of the internal effective rates uses the solver and is triggered using VBA. To access the VBA code, navigate to the \"Developer\" tab or use the shortcut ALT + F11. "]

{"sheet":"Gov Rates","index":1,"n_rows":38,"n_cols":18,"rows_kept":38,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Input Data: Government Bond Rates"]
[]
[null,null,null,null,null,"Maturity [Y]","FR","DE","UK"]
[null,null,null,null,null,1,2.0424612675379396E-2,1.7626189531577772E-2,4.2585891980809344E-2]
[null,null,null,null,null,2,2.0736797124672614E-2,1.780066764758044E-2,3.8475688991940163E-2]
[null,null,null,null,null,3,1.9682871865725426E-2,1.8322834080949962E-2,4.0572611677544196E-2]
[null,null,null,null,null,4,2.2176814440323645E-2,1.825371910490477E-2,3.9870586471311566E-2]
[null,null,null,null,null,5,2.6847135826161814E-2,2.1862454111766214E-2,3.9485369076427967E-2]
[null,null,null,null,null,6,2.8307116808505655E-2,2.3414696120837752E-2,4.1995428576948976E-2]
[null,null,null,null,null,7,2.6948234973192615E-2,2.0788818065419806E-2,4.4354304323428614E-2]
[null,null,null,null,null,8,2.8045889028979067E-2,2.1837094985391207E-2,4.1815348342708558E-2]
[null,null,null,null,null,9,3.1033363419291107E-2,2.4140514082626182E-2,4.3992134971465459E-2]
[null,null,null,null,null,10,3.3889997074035644E-2,2.5795402864594363E-2,4.494462876684574E-2]
[null,null,null,null,null,11,3.3155102937527069E-2,2.6947253824462683E-2,4.4571882474586433E-2]
[null,null,null,null,null,12,3.5119825930892364E-2,2.8898498520260218E-2,4.5289839955159672E-2]
[null,null,null,null,null,13,3.3912935547021496E-2,2.9251111881413723E-2,4.7976557121544944E-2]
[null,null,null,null,null,14,3.6463732236942215E-2,2.7449755620328635E-2,4.8293794416579529E-2]
[null,null,null,null,null,15,3.6508771748366996E-2,2.8411272205124707E-2,4.7724484957833761E-2]
[null,null,null,null,null,16,3.5545790963770023E-2,2.8478773559246072E-2,5.0245001196692653E-2]
[null,null,null,null,null,17,3.7860239675338934E-2,2.7746808432404881E-2,4.9382769164336551E-2]
[null,null,null,null,null,18,3.7494878981152391E-2,3.0726864452548994E-2,5.0721992181286153E-2]
[null,null,null,null,null,19,3.7451224344028915E-2,2.9649511639949409E-2,5.396612020801303E-2]
[null,null,null,null,null,20,3.8694739649997159E-2,2.7684948406584333E-2,5.3412095170154807E-2]
[null,null,null,null,null,21]
[null,null,null,null,null,22]
[null,null,null,null,null,23]
[null,null,null,null,null,24]
[null,null,null,null,null,25,4.1145309745675387E-2,3.1143099546261536E-2,5.4154187775120918E-2]
[null,null,null,null,null,26]
[null,null,null,null,null,27]
[null,null,null,null,null,28]
[null,null,null,null,null,29]
[null,null,null,null,null,30,4.132798459371146E-2,2.892681529592522E-2,5.1475986512887484E-2]

{"sheet":"Corp Data","index":2,"n_rows":49,"n_cols":18,"rows_kept":49,"cut":false,"hidden":false,"merged":[[19,17,21,17],[40,17,42,17]]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Input Data: Corporate Bond Data"]
[]
[null,null,null,null,null,"GBP Corporate Bonds"]
[]
[null,null,null,null,null,"Financials CQS 0",null,null,null,"Financials CQS 1",null,null,null,"Financials CQS 2"]
[]
[null,null,null,null,null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield"]
[null,null,null,null,null,"1-3Y",{"$f":"K13","v":1.9221517341179017},{"$f":"85%*L13","v":1.9404737353982699E-2},null,"1-3Y",1.9221517341179017,2.2829102769391412E-2,null,"1-3Y",1.7904769697768335,2.4570514999914646E-2]
[null,null,null,null,null,"3-5Y",{"$f":"K14","v":3.654664910096864},{"$f":"85%*L14","v":2.2750017596214651E-2},null,"3-5Y",3.654664910096864,2.6764726583781945E-2,null,"3-5Y",3.8461265275627361,2.7901585225046481E-2]
[null,null,null,null,null,"5-7Y",5.6975471136800966,2.3682054550376554E-2,null,"5-7Y",5.6975471136800966,2.7861240647501829E-2,null,"5-7Y",5.3178343387494857,3.2711475394374245E-2]
[null,null,null,null,null,"7-10Y",7.3166884761050666,2.5687872321853749E-2,null,"7-10Y",7.3166884761050666,3.0221026261004411E-2,null,"7-10Y",7.2380986843391968,3.4431770262833145E-2]
[null,null,null,null,null,"10-15Y",12.015612891503679,3.2457101601795317E-2,null,"10-15Y",12.015612891503679,3.8184825413876841E-2,null,"10-15Y",10.023451828635352,4.0360274216309028E-2]
[null,null,null,null,null,"15+",{"$f":"K18","v":15.015612891503679},{"$f":"85%*L18","v":3.6129101601795312E-2},null,"15+",15.015612891503679,4.2504825413876839E-2,null,"15+",15.015612891503679,4.2504825413876839E-2]
[]
[null,null,null,null,null,"Financials CQS 3",null,null,null,"Financials CQS 4",null,null,null,"Financials CQS 5",null,null,null,"Derived with the k-factor approach"]
[]
[null,null,null,null,null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield"]
[null,null,null,null,null,"1-3Y",1.6531692701591558,3.0031521954113186E-2,null,"1-3Y",2.8500263471998482,5.128437923805905E-2,null,"1-3Y",2.7009739123562055,7.5942132249087732E-2]
[null,null,null,null,null,"3-5Y",3.8074161611199218,3.2321337670084646E-2,null,"3-5Y",2.8500263471998482,5.128437923805905E-2,null,"3-5Y",2.7009739123562055,7.5942132249087732E-2]
[null,null,null,null,null,"5-7Y",5.2482382233776823,3.5258631375174938E-2,null,"5-7Y",2.8500263471998482,5.128437923805905E-2,null,"5-7Y",2.7009739123562055,7.5942132249087732E-2]
[null,null,null,null,null,"7-10Y",7.0515052333812971,3.963055471968728E-2,null,"7-10Y",2.8500263471998482,5.128437923805905E-2,null,"7-10Y",2.7009739123562055,7.5942132249087732E-2]
[null,null,null,null,null,"10-15Y",13.025658127516325,4.0962576046739294E-2,null,"10-15Y",2.8500263471998482,5.128437923805905E-2,null,"10-15Y",2.7009739123562055,7.5942132249087732E-2]
[null,null,null,null,null,"15+",15.015612891503679,4.5282576046739291E-2,null,"15+",2.8500263471998499,5.1284379238059001E-2,null,"15+",2.70097391235621,7.5942132249087704E-2]
[]
[]
[null,null,null,null,null,"Non-Financials CQS 0",null,null,null,"Non-Financials CQS 1",null,null,null,"Non-Financials CQS 2"]
[]
[null,null,null,null,null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield"]
[null,null,null,null,null,"1-3Y",{"$f":"K34","v":1.7005816132851916},{"$f":"85%*L34","v":2.1130316626580426E-2},null,"1-3Y",1.7005816132851916,2.485919603127109E-2,null,"1-3Y",1.8210937164582948,2.3732683682800047E-2]
[null,null,null,null,null,"3-5Y",{"$f":"K35","v":3.8469269601442058},{"$f":"85%*L35","v":2.176022290954208E-2},null,"3-5Y",3.8469269601442058,2.5600262246520095E-2,null,"3-5Y",3.5937546727650269,2.7196128628404745E-2]
[null,null,null,null,null,"5-7Y",5.6291185418868288,2.4325657203645591E-2,null,"5-7Y",5.6291185418868288,2.861842023958305E-2,null,"5-7Y",5.559902599969849,3.1212008683224015E-2]
[null,null,null,null,null,"7-10Y",7.5310818488578741,2.6243456275731308E-2,null,"7-10Y",7.5310818488578741,3.0874654442036832E-2,null,"7-10Y",7.5031922388925159,3.5303187713030738E-2]
[null,null,null,null,null,"10-15Y",12.194443951510827,2.971966776686473E-2,null,"10-15Y",12.194443951510827,3.4964315019840861E-2,null,"10-15Y",11.526947979108837,3.6472073291511267E-2]
[null,null,null,null,null,"15+",{"$f":"K39","v":15.015612891503679},{"$f":"85%*L39","v":3.6129101601795312E-2},null,"15+",15.015612891503679,4.2504825413876839E-2,null,"15+",15.015612891503679,4.2504825413876839E-2]
[]
[null,null,null,null,null,"Non-Financials CQS 3",null,null,null,"Non-Financials CQS 4",null,null,null,"Non-Financials CQS 5",null,null,null,"Derived with the k-factor approach"]
[]
[null,null,null,null,null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield",null,"Maturity Bucket","Duration [Y]","Yield"]
[null,null,null,null,null,"1-3Y",1.9557585874298433,2.7519684005365579E-2,null,"1-3Y",2.9862285739742478,4.4038098250287559E-2,null,"1-3Y",2.135648956352437,6.1487417848640688E-2]
[null,null,null,null,null,"3-5Y",3.7872557258441497,3.205249854532944E-2,null,"3-5Y",2.9862285739742478,4.4038098250287559E-2,null,"3-5Y",2.135648956352437,6.1487417848640688E-2]
[null,null,null,null,null,"5-7Y",5.1398294470128132,3.401032643816123E-2,null,"5-7Y",2.9862285739742478,4.4038098250287559E-2,null,"5-7Y",2.135648956352437,6.1487417848640688E-2]
[null,null,null,null,null,"7-10Y",7.0388183485627369,3.6185363323636699E-2,null,"7-10Y",2.9862285739742478,4.4038098250287559E-2,null,"7-10Y",2.135648956352437,6.1487417848640688E-2]
[null,null,null,null,null,"10-15Y",10.484269822637634,4.0568887424207736E-2,null,"10-15Y",2.9862285739742478,4.4038098250287559E-2,null,"10-15Y",2.135648956352437,6.1487417848640688E-2]
[null,null,null,null,null,"15+",15.015612891503679,4.2504825413876839E-2,null,"15+",2.98622857397425,4.4038098250287601E-2,null,"15+",2.1356489563524401,6.1487417848640702E-2]

{"sheet":"RFR","index":3,"n_rows":40,"n_cols":13,"rows_kept":40,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Input Data: Risk-Free Interest Rates"]
[]
[null,null,null,null,null,"EIOPA Basic Risk-Free Interest Rates"]
[]
[null,null,null,null,null,"Maturity [Y]","GBP","EUR"]
[null,null,null,null,null,1,1.9815342332232987E-2,1.0679759247783005E-2]
[null,null,null,null,null,2,1.8216879219364972E-2,1.1899780098404981E-2]
[null,null,null,null,null,3,1.9385356244159758E-2,1.8949893297835065E-2]
[null,null,null,null,null,4,1.8513013805178696E-2,1.5437846218425408E-2]
[null,null,null,null,null,5,1.8921951559288785E-2,1.7003018643830255E-2]
[null,null,null,null,null,6,2.068612670895302E-2,1.697134494418313E-2]
[null,null,null,null,null,7,2.0630787628729608E-2,1.7421022354534226E-2]
[null,null,null,null,null,8,2.3517307109820834E-2,1.5490846651952819E-2]
[null,null,null,null,null,9,2.2235384694282496E-2,1.9200045840254518E-2]
[null,null,null,null,null,10,2.5508122840265712E-2,1.7158968647697601E-2]
[null,null,null,null,null,11,2.3869200608484003E-2,2.0239338139808064E-2]
[null,null,null,null,null,12,2.3977156603656111E-2,1.673256904294965E-2]
[null,null,null,null,null,13,2.4020506418041519E-2,2.2846253437910347E-2]
[null,null,null,null,null,14,2.6429744248081709E-2,2.5831484410557656E-2]
[null,null,null,null,null,15,2.7217107107184366E-2,1.7845758376841381E-2]
[null,null,null,null,null,16,2.7081728875622629E-2,2.1607237227256181E-2]
[null,null,null,null,null,17,2.450464181434649E-2,1.5337984442026097E-2]
[null,null,null,null,null,18,2.7252629348690223E-2,1.8474638967226398E-2]
[null,null,null,null,null,19,2.6644599185639075E-2,2.4293828597901315E-2]
[null,null,null,null,null,20,2.6168384949560541E-2,2.3753864179899119E-2]
[null,null,null,null,null,21,2.7790073248455491E-2,2.0291880550968658E-2]
[null,null,null,null,null,22,2.6686623395912323E-2,2.4973161715225647E-2]
[null,null,null,null,null,23,2.7568397164387373E-2,2.3373770307929722E-2]
[null,null,null,null,null,24,2.6759067996970622E-2,2.169178591096356E-2]
[null,null,null,null,null,25,2.5749740893361218E-2,2.1158025920939579E-2]
[null,null,null,null,null,26,2.4530028578036357E-2,1.5920733086412116E-2]
[null,null,null,null,null,27,2.6772297605409674E-2,2.2650157771840408E-2]
[null,null,null,null,null,28,2.4892197556982163E-2,1.6915549736377572E-2]
[null,null,null,null,null,29,2.5463373999889027E-2,1.6355720202023021E-2]
[null,null,null,null,null,30,2.6315191840547751E-2,1.7926759680908705E-2]

{"sheet":"LTAS","index":4,"n_rows":111,"n_cols":13,"rows_kept":111,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Input Data: Long-Term Average Spreads"]
[]
[null,null,null,null,null,"Central Government and Central Bank Bonds"]
[]
[null,null,null,null,null,"Maturity [Y]","FR","DE","UK"]
[null,null,null,null,null,1,-2.1197995611929505E-3,-6.3490764036348542E-4,-2.084425403151598E-3]
[null,null,null,null,null,2,-4.2220645154990516E-4,-1.2828973444488343E-3,-1.1183752994566773E-3]
[null,null,null,null,null,3,-5.2024794008669094E-4,-4.0103777352684267E-3,-2.7564884851333932E-3]
[null,null,null,null,null,4,-1.8780311178805422E-3,-3.4965518339340838E-3,-1.4464451256442788E-3]
[null,null,null,null,null,5,3.0378093273021915E-4,-2.3970526865943016E-3,-8.3594428430238559E-4]
[null,null,null,null,null,6,-1.3128302977521203E-3,-1.6627146577382732E-3,8.3218701663494371E-5]
[null,null,null,null,null,7,-9.8952786311261548E-4,-2.5198045291790535E-3,-1.4765763414337205E-3]
[null,null,null,null,null,8,9.6400295978683252E-4,-1.7225059552686082E-3,-1.3353738011712231E-3]
[null,null,null,null,null,9,2.2675909810891143E-3,-2.4201303174635116E-3,-9.2273946973279379E-4]
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[null,null,null,null,null,15,9.6834868912573278E-4,-3.0767050962225949E-3,-2.3076457276793244E-3]
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[null,null,null,null,null,"DE",0.05,3.3,0.19978909498061673,0.18797191180011813,0.19676163738914021]
[null,null,null,null,null,"GR",null,null,0,0,0]
[null,null,null,null,null,"HU",null,null,0,0,0]
[null,null,null,null,null,"IS",null,null,0,0,0]
[null,null,null,null,null,"IE"]
[null,null,null,null,null,"IT"]
[null,null,null,null,null,"LV"]
[null,null,null,null,null,"LI"]
[null,null,null,null,null,"LT"]
[null,null,null,null,null,"LU"]
[null,null,null,null,null,"MT"]
[null,null,null,null,null,"NL"]
[null,null,null,null,null,"NO"]
[null,null,null,null,null,"PL"]
[null,null,null,null,null,"PT"]
[null,null,null,null,null,"RO"]
[null,null,null,null,null,"SK"]
[null,null,null,null,null,"SI"]
[null,null,null,null,null,"ES"]
[null,null,null,null,null,"SE",null,null,0,0,0]
[null,null,null,null,null,"CH",null,null,0,0,0]
[null,null,null,null,null,"UK",0.93,6.7,0.13319272998707785,0.12531460786674542,0.13117442492609349]
[null,null,null,null,null,"AU",null,null,0,0,0]
[null,null,null,null,null,"CA",null,null,0,0,0]
[null,null,null,null,null,"CN",null,null,0,0,0]
[null,null,null,null,null,"HK",null,null,0,0,0]
[null,null,null,null,null,"JP",null,null,0,0,0]
[null,null,null,null,null,"US",null,null,0,0,0]

{"sheet":"Corporate Bond Ref. Portfolio","index":7,"n_rows":24,"n_cols":13,"rows_kept":24,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Input Data: Corporate Bond Reference Portfolios"]
[]
[null,null,null,null,null,"Currency RCS GBP - Ref. Port. of Assets other than Central Government and Central Banks Bonds"]
[]
[null,null,null,null,null,"Issuer","Composition","Duration [Y]","Yield Cash Flow","RFR Cash Flow","RC Yield Cash Flow"]
[null,null,null,null,null,"Financials CQS 0",0.21,2.6,0.1715509422832221,0.16662763087315455,0.16914260648634014]
[null,null,null,null,null,"Financials CQS 1",0.06,1.9,0.14228529409354193,0.13633092777623393,0.13929781392801152]
[null,null,null,null,null,"Financials CQS 2",0.17,3.2,0.3424925112874902,0.32429670211326089,0.33329578624557882]
[null,null,null,null,null,"Financials CQS 3",7.0000000000000007E-2,4.3,0.15066132391631146,0.14239795135227756,0.14648558549662663]
[null,null,null,null,null,"Financials CQS 4"]
[null,null,null,null,null,"Financials CQS 5",null,null,0,0,0]
[null,null,null,null,null,"Financials CQS 6",null,null,0,0,0]
[null,null,null,null,null,"Non-Financials CQS 0",0.06,4,5.1501769681565578E-2,5.0125843146698171E-2,5.1074217586862869E-2]
[null,null,null,null,null,"Non-Financials CQS 1",0.05,4.5999999999999996,5.061602684413604E-2,4.8011445937372298E-2,4.9577489225803489E-2]
[null,null,null,null,null,"Non-Financials CQS 2",0.15,5.5,0.10628069041968166,0.10224819583217545,0.10478524867945914]
[null,null,null,null,null,"Non-Financials CQS 3",0.21,5.3,0.1509614551795127,0.14461162024146759,0.14853475089271306]
[null,null,null,null,null,"Non-Financials CQS 4",0.01,3.1,1.1594651925332889E-2,1.0817584779125075E-2,1.1327977600782262E-2]
[null,null,null,null,null,"Non-Financials CQS 5",0.01,1.5,1.1594651925332889E-2,1.0817584779125075E-2,1.1327977600782262E-2]
[null,null,null,null,null,"Non-Financials CQS 6",null,null,0,0,0]

{"sheet":"S&RC Gov Currency","index":8,"n_rows":51,"n_cols":14,"rows_kept":51,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Currency RCS: Government Bonds"]
[]
[null,null,null,null,null,"Model Bond Calculations"]
[]
[null,null,null,null,null,"Issuer","FR","DE","UK"]
[null,null,null,null,null,"Issuer currency","EUR","EUR","GBP"]
[null,null,null,null,null,"Relative market value",{"$f":"_xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Composition])","v":0.02},{"$f":"_xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Composition])","v":0.05},{"$f":"_xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Composition])","v":0.93}]
[null,null,null,null,null,"Duration [Y]",{"$f":"_xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Duration '[Y']])","v":2.4},{"$f":"_xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Duration '[Y']])","v":3.3},{"$f":"_xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Duration '[Y']])","v":6.7}]
[null,null,null,null,null,"Integer D less than or equal to the duration [Y]",{"$f":"INT(G$13)","v":2},{"$f":"INT(H$13)","v":3},6]
[null,null,null,null,null,"Integer D+1 [Y]",{"$f":"G14+1","v":3},{"$f":"H14+1","v":4},7]
[]
[null,null,null,null,null,"Linear interpolation of market yields before risk correction"]
[null,null,null,null,null,"Market yield before risk correction corresponding to D",{"$f":"_xlfn.LET(_xlpm.YIELDCOLUMN, INDIRECT(\"T.GovRates[\"&G$10&\"]\"),\n     _xlfn.XLOOKUP(G$14,T.GovRates[Maturity '[Y']], _xlpm.YIELDCOLUMN))","v":2.0736797124672614E-2},{"$f":"_xlfn.LET(_xlpm.YIELDCOLUMN, INDIRECT(\"T.GovRates[\"&H$10&\"]\"),\n     _xlfn.XLOOKUP(H$14,T.GovRates[Maturity '[Y']], _xlpm.YIELDCOLUMN))","v":1.8322834080949962E-2},{"$f":"_xlfn.LET(_xlpm.YIELDCOLUMN, INDIRECT(\"T.GovRates[\"&I$10&\"]\"),\n     _xlfn.XLOOKUP(I$14,T.GovRates[Maturity '[Y']], _xlpm.YIELDCOLUMN))","v":4.1995428576948976E-2}]
[null,null,null,null,null,"Market yield before risk correction corresponding to D+1",{"$f":"_xlfn.LET(_xlpm.YIELDCOLUMN, INDIRECT(\"T.GovRates[\"&G$10&\"]\"),\n     _xlfn.XLOOKUP(G$15,T.GovRates[Maturity '[Y']], _xlpm.YIELDCOLUMN))","v":1.9682871865725426E-2},{"$f":"_xlfn.LET(_xlpm.YIELDCOLUMN, INDIRECT(\"T.GovRates[\"&H$10&\"]\"),\n     _xlfn.XLOOKUP(H$15,T.GovRates[Maturity '[Y']], _xlpm.YIELDCOLUMN))","v":1.825371910490477E-2},{"$f":"_xlfn.LET(_xlpm.YIELDCOLUMN, INDIRECT(\"T.GovRates[\"&I$10&\"]\"),\n     _xlfn.XLOOKUP(I$15,T.GovRates[Maturity '[Y']], _xlpm.YIELDCOLUMN))","v":4.4354304323428614E-2}]
[null,null,null,null,null,"Linear Interpolation of market yield before risk correction",{"$f":"G18+(G19-G18)/(G15-G14)*(G$13-G14)","v":2.031522702109374E-2},1.8302099588136403E-2,4.3646641599484726E-2]
[]
[null,null,null,null,null,"Linear interpolation of risk-free rates"]
[null,null,null,null,null,"Basic risk-free rate corresponding to D",{"$f":"_xlfn.LET(_xlpm.RFRCOLUMN, INDIRECT(\"T.RFR[\"&G$11&\"]\"),\n     _xlfn.XLOOKUP(G$14, T.RFR[Maturity '[Y']], _xlpm.RFRCOLUMN))","v":1.1899780098404981E-2},{"$f":"_xlfn.LET(_xlpm.RFRCOLUMN, INDIRECT(\"T.RFR[\"&H$11&\"]\"),\n     _xlfn.XLOOKUP(H$14, T.RFR[Maturity '[Y']], _xlpm.RFRCOLUMN))","v":1.8949893297835065E-2},{"$f":"_xlfn.LET(_xlpm.RFRCOLUMN, INDIRECT(\"T.RFR[\"&I$11&\"]\"),\n     _xlfn.XLOOKUP(I$14, T.RFR[Maturity '[Y']], _xlpm.RFRCOLUMN))","v":2.068612670895302E-2}]
[null,null,null,null,null,"Basic risk-free rate corresponding to D+1",{"$f":"_xlfn.LET(_xlpm.RFRCOLUMN, INDIRECT(\"T.RFR[\"&G$11&\"]\"),\n     _xlfn.XLOOKUP(G$15, T.RFR[Maturity '[Y']], _xlpm.RFRCOLUMN))","v":1.8949893297835065E-2},{"$f":"_xlfn.LET(_xlpm.RFRCOLUMN, INDIRECT(\"T.RFR[\"&H$11&\"]\"),\n     _xlfn.XLOOKUP(H$15, T.RFR[Maturity '[Y']], _xlpm.RFRCOLUMN))","v":1.5437846218425408E-2},{"$f":"_xlfn.LET(_xlpm.RFRCOLUMN, INDIRECT(\"T.RFR[\"&I$11&\"]\"),\n     _xlfn.XLOOKUP(I$15, T.RFR[Maturity '[Y']], _xlpm.RFRCOLUMN))","v":2.0630787628729608E-2}]
[null,null,null,null,null,"Linear interpolation of basic risk-free rate",{"$f":"G23+(G24-G23)/(G15-G14) * (G$13-G14)","v":1.4719825378177013E-2},{"$f":"H23+(H24-H23)/(H15-H14) * (H$13-H14)","v":1.7896279174012167E-2},2.0647389352796631E-2]
[]
[null,null,null,null,null,"Linear interpolation of long-term average spreads"]
[null,null,null,null,null,"Long-term average spread corresponding to D",{"$f":"_xlfn.LET(_xlpm.LTASCOLUMN, INDIRECT(\"T.LTASGov[\"&G$10&\"]\"),\n     _xlfn.XLOOKUP(G$14, T.LTASGov[Maturity '[Y']],_xlpm.LTASCOLUMN))","v":-4.2220645154990516E-4},{"$f":"_xlfn.LET(_xlpm.LTASCOLUMN, INDIRECT(\"T.LTASGov[\"&H$10&\"]\"),\n     _xlfn.XLOOKUP(H$14, T.LTASGov[Maturity '[Y']],_xlpm.LTASCOLUMN))","v":-4.0103777352684267E-3},{"$f":"_xlfn.LET(_xlpm.LTASCOLUMN, INDIRECT(\"T.LTASGov[\"&I$10&\"]\"),\n     _xlfn.XLOOKUP(I$14, T.LTASGov[Maturity '[Y']],_xlpm.LTASCOLUMN))","v":8.3218701663494371E-5}]
[null,null,null,null,null,"Long-term average spread corresponding to D+1",{"$f":"_xlfn.LET(_xlpm.LTASCOLUMN, INDIRECT(\"T.LTASGov[\"&G$10&\"]\"),\n     _xlfn.XLOOKUP(G$15, T.LTASGov[Maturity '[Y']],_xlpm.LTASCOLUMN))","v":-5.2024794008669094E-4},{"$f":"_xlfn.LET(_xlpm.LTASCOLUMN, INDIRECT(\"T.LTASGov[\"&H$10&\"]\"),\n     _xlfn.XLOOKUP(H$15, T.LTASGov[Maturity '[Y']],_xlpm.LTASCOLUMN))","v":-3.4965518339340838E-3},{"$f":"_xlfn.LET(_xlpm.LTASCOLUMN, INDIRECT(\"T.LTASGov[\"&I$10&\"]\"),\n     _xlfn.XLOOKUP(I$15, T.LTASGov[Maturity '[Y']],_xlpm.LTASCOLUMN))","v":-1.4765763414337205E-3}]
[null,null,null,null,null,"Linear interpolation of LTAS",{"$f":"G28+(G29-G28)/(G15-G14)*(G13-G14)","v":-4.6142304696461945E-4},{"$f":"H28+(H29-H28)/(H15-H14)*(H13-H14)","v":-3.8562299648681238E-3},-1.0086378285045564E-3]
[]
[null,null,null,null,null,"Risk-corrected market yields"]
[null,null,null,null,null,"Spread",{"$f":"G20-G25","v":5.5954016429167266E-3},{"$f":"H20-H25","v":4.0582041412423608E-4},2.2999252246688095E-2]
[null,null,null,null,null,"Risk correction",{"$f":"_xlfn.LET(_xlpm.SPLUS, MAX(G33, 0),\n     _xlpm.LTASPLUS, MAX(G30, 0),\n     _xlpm.RC, 30% * MIN(_xlpm.SPLUS, _xlpm.LTASPLUS) + 20% * MAX(0, MIN(_xlpm.SPLUS - _xlpm.LTASPLUS, _xlpm.LTASPLUS)) + 15% * MAX(0, _xlpm.SPLUS - 2 * _xlpm.LTASPLUS),\n     MIN(_xlpm.RC, 65% * _xlpm.LTASPLUS))","v":0},{"$f":"_xlfn.LET(_xlpm.SPLUS, MAX(H33, 0),\n     _xlpm.LTASPLUS, MAX(H30, 0),\n     _xlpm.RC, 30% * MIN(_xlpm.SPLUS, _xlpm.LTASPLUS) + 20% * MAX(0, MIN(_xlpm.SPLUS - _xlpm.LTASPLUS, _xlpm.LTASPLUS)) + 15% * MAX(0, _xlpm.SPLUS - 2 * _xlpm.LTASPLUS),\n     MIN(_xlpm.RC, 65% * _xlpm.LTASPLUS))","v":0},{"$f":"_xlfn.LET(_xlpm.SPLUS, MAX(I33, 0),\n     _xlpm.LTASPLUS, MAX(I30, 0),\n     _xlpm.RC, 50% * MIN(_xlpm.SPLUS, _xlpm.LTASPLUS) + 40% * MAX(0, MIN(_xlpm.SPLUS - _xlpm.LTASPLUS, _xlpm.LTASPLUS)) + 30% * MAX(0, _xlpm.SPLUS - 2 * _xlpm.LTASPLUS),\n     MIN(_xlpm.RC, 125% * _xlpm.LTASPLUS))","v":0}]
[null,null,null,null,null,"Risk-corrected market yield",{"$f":"G20-G34","v":2.031522702109374E-2},{"$f":"H20-H34","v":1.8302099588136403E-2},4.3646641599484726E-2]
[]
[null,null,null,null,null,"Model bond market values"]
[null,null,null,null,null,"Market value market yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Yield Cash Flow]),\n     _xlpm.IR, G20,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.43151605057871883},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Yield Cash Flow]),\n     _xlpm.IR, H20,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.18818234242394691},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Yield Cash Flow]),\n     _xlpm.IR, I20,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.10003965955860258}]
[null,null,null,null,null,"Market value risk-free yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RFR Cash Flow]),\n     _xlpm.IR, G25,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.41138634009068004},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RFR Cash Flow]),\n     _xlpm.IR, H25,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.17728472577034352},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RFR Cash Flow]),\n     _xlpm.IR, I25,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.10927839676462077}]
[null,null,null,null,null,"Market value risk-corrected yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RC Yield Cash Flow]),\n     _xlpm.IR, G35,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.42497717245178573},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RC Yield Cash Flow]),\n     _xlpm.IR, H35,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.18533076505828297},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RC Yield Cash Flow]),\n     _xlpm.IR, I35,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":9.8523731840882034E-2}]
[]
[null,null,null,null,null,"Portfolio Calculation"]
[]
[null,null,null,null,null,"Internal rate of return (IRR) calculation",{"$f":"G10","v":"FR"},{"$f":"H10","v":"DE"},"UK",null,"Sum","Obj. Func.","IRR"]
[null,null,null,null,null,"IRR discounted market yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Yield Cash Flow]),\n     _xlpm.IER, $M$45,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.42503780388129664},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Yield Cash Flow]),\n     _xlpm.IER, $M$45,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.18311142673058683},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[Yield Cash Flow]),\n     _xlpm.IER, $M$45,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.1115888219493848},null,{"$f":"SUM(G45:I45)","v":0.71973805256126822},{"$f":"(SUM(G38:I38)-K45)^2","v":1.2325951644078309E-32},2.6766323758015742E-2]
[null,null,null,null,null,"IRR discounted risk-free yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RFR Cash Flow]),\n     _xlpm.IER, $M$46,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.40876996360449769},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RFR Cash Flow]),\n     _xlpm.IER, $M$46,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.17755818757947711},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RFR Cash Flow]),\n     _xlpm.IER, $M$46,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.11162131144166956},null,{"$f":"SUM(G46:I46)","v":0.69794946262564439},{"$f":"(SUM(G39:I39)-K46)^2","v":0},1.742096715396859E-2]
[null,null,null,null,null,"IRR discounted risk-corrected yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RC Yield Cash Flow]),\n     _xlpm.IER, $M$47,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.41859709235922993},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RC Yield Cash Flow]),\n     _xlpm.IER, $M$47,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.18033669030668242},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyGov[Issuer], T.RefPortCurrencyGov[RC Yield Cash Flow]),\n     _xlpm.IER, $M$47,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.10989788668503835},null,{"$f":"SUM(G47:I47)","v":0.70883166935095065},{"$f":"(SUM(G40:I40)-K47)^2","v":1.2325951644078309E-32},2.6766323758015725E-2]
[]
[null,null,null,null,null,"Portfolio spread and risk correction","Total"]
[null,null,null,null,null,"Portfolio spread",{"$f":"V.IER_Yield_Gov_Cur-V.IER_RFR_Gov_Cur","v":9.3453566040471517E-3}]
[null,null,null,null,null,"Portfolio risk correction",{"$f":"V.IER_Yield_Gov_Cur-V.IER_RCYield_Gov_Cur","v":0}]

{"sheet":"S&RC Corp Currency","index":9,"n_rows":53,"n_cols":21,"rows_kept":53,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Currency RCS: Corporate Bonds"]
[]
[null,null,null,null,null,"Model Bond Calculations",null,null,null,null,null,null,null,null,null,null,null,"RFR TD"]
[]
[null,null,null,null,null,"Issuer","Financials CQS 0","Financials CQS 1","Financials CQS 2","Financials CQS 3","Non-Financials CQS 0","Non-Financials CQS 1","Non-Financials CQS 2","Non-Financials CQS 3","Non-Financials CQS 4","Non-Financials CQS 5"]
[null,null,null,null,null,"Issuer currency","GBP","GBP","GBP","GBP","GBP","GBP","GBP","GBP","GBP","GBP"]
[null,null,null,null,null,"Relative market value",{"$f":"_xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.21},{"$f":"_xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.06},{"$f":"_xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.17},{"$f":"_xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":7.0000000000000007E-2},{"$f":"_xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.06},{"$f":"_xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.05},{"$f":"_xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.15},{"$f":"_xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.21},{"$f":"_xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.01},{"$f":"_xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Composition])","v":0.01}]
[null,null,null,null,null,"Duration [Y]",{"$f":"_xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":2.6},{"$f":"_xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":1.9},{"$f":"_xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":3.2},{"$f":"_xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":4.3},{"$f":"_xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":4},{"$f":"_xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":4.5999999999999996},{"$f":"_xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":5.5},{"$f":"_xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":5.3},{"$f":"_xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":3.1},{"$f":"_xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Duration '[Y']])","v":1.5}]
[null,null,null,null,null,"Integer D less than or equal to the duration [Y]",{"$f":"INT(G$13)","v":2},{"$f":"INT(H$13)","v":1},3,4,4,4,5,5,3,1]
[null,null,null,null,null,"Integer D+1 [Y]",{"$f":"G14+1","v":3},{"$f":"H14+1","v":2},4,5,5,5,6,6,4,{"$f":"P14+1","v":2}]
[]
[null,null,null,null,null,"Linear interpolation of market yields before risk correction"]
[null,null,null,null,null,"Longest available duration below the component duration [Y]",{"$f":"ROUND('Corp Data'!G13, 1)","v":1.9},{"$f":"ROUND('Corp Data'!K13, 1)","v":1.9},{"$f":"ROUND('Corp Data'!O13, 1)","v":1.8},{"$f":"ROUND('Corp Data'!G24, 1)","v":3.8},{"$f":"ROUND('Corp Data'!G35, 1)","v":3.8},{"$f":"ROUND('Corp Data'!K35, 1)","v":3.8},{"$f":"ROUND('Corp Data'!O35, 1)","v":3.6},{"$f":"ROUND('Corp Data'!G46, 1)","v":5.0999999999999996},{"$f":"ROUND('Corp Data'!K44, 1)","v":3},{"$f":"ROUND('Corp Data'!O44, 1)","v":2.1}]
[null,null,null,null,null,"Yield for the longest available duration below the component duration",{"$f":"'Corp Data'!H13","v":1.9404737353982699E-2},{"$f":"'Corp Data'!L13","v":2.2829102769391412E-2},{"$f":"'Corp Data'!P13","v":2.4570514999914646E-2},{"$f":"'Corp Data'!H24","v":3.2321337670084646E-2},{"$f":"'Corp Data'!H35","v":2.176022290954208E-2},{"$f":"'Corp Data'!L35","v":2.5600262246520095E-2},{"$f":"'Corp Data'!P35","v":2.7196128628404745E-2},{"$f":"'Corp Data'!H46","v":3.401032643816123E-2},{"$f":"'Corp Data'!L44","v":4.4038098250287559E-2},{"$f":"'Corp Data'!P44","v":6.1487417848640688E-2}]
[null,null,null,null,null,"Shortest available duration above the component duration [Y]",{"$f":"ROUND('Corp Data'!G14, 1)","v":3.7},{"$f":"ROUND('Corp Data'!K14, 1)","v":3.7},{"$f":"ROUND('Corp Data'!O14, 1)","v":3.8},{"$f":"ROUND('Corp Data'!G25, 1)","v":5.2},{"$f":"ROUND('Corp Data'!G36, 1)","v":5.6},{"$f":"ROUND('Corp Data'!K36, 1)","v":5.6},{"$f":"ROUND('Corp Data'!O36, 1)","v":5.6},{"$f":"ROUND('Corp Data'!G47, 1)","v":7},{"$f":"ROUND('Corp Data'!K44, 1)","v":3},{"$f":"ROUND('Corp Data'!O44, 1)","v":2.1}]
[null,null,null,null,null,"Yield for the shortest available duration above the component duration",{"$f":"'Corp Data'!H14","v":2.2750017596214651E-2},{"$f":"'Corp Data'!L14","v":2.6764726583781945E-2},{"$f":"'Corp Data'!P14","v":2.7901585225046481E-2},{"$f":"'Corp Data'!H25","v":3.5258631375174938E-2},{"$f":"'Corp Data'!H36","v":2.4325657203645591E-2},{"$f":"'Corp Data'!L36","v":2.861842023958305E-2},{"$f":"'Corp Data'!P36","v":3.1212008683224015E-2},{"$f":"'Corp Data'!H47","v":3.6185363323636699E-2},{"$f":"'Corp Data'!L44","v":4.4038098250287559E-2},{"$f":"'Corp Data'!P44","v":6.1487417848640688E-2}]
[null,null,null,null,null,"Linear interpolation of market yields before risk correction",{"$f":"G19+(G21-G19)/(G20-G18)*(G13-G18)","v":2.0705679670406235E-2},{"$f":"H19","v":2.2829102769391412E-2},{"$f":"I19+(I21-I19)/(I20-I18)*(I13-I18)","v":2.690226415750693E-2},3.337037113618832E-2,2.2045271164442472E-2,2.6941665798992518E-2,3.1011214680483051E-2,3.4239277689263908E-2,{"$f":"O21","v":4.4038098250287559E-2},{"$f":"P21","v":6.1487417848640688E-2}]
[]
[null,null,null,null,null,"Linear interpolation of risk-free rates"]
[null,null,null,null,null,"Basic risk-free rate corresponding to D",{"$f":"_xlfn.XLOOKUP(G$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8216879219364972E-2},{"$f":"_xlfn.XLOOKUP(H$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.9815342332232987E-2},{"$f":"_xlfn.XLOOKUP(I$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.9385356244159758E-2},{"$f":"_xlfn.XLOOKUP(J$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8513013805178696E-2},{"$f":"_xlfn.XLOOKUP(K$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8513013805178696E-2},{"$f":"_xlfn.XLOOKUP(L$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8513013805178696E-2},{"$f":"_xlfn.XLOOKUP(M$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8921951559288785E-2},{"$f":"_xlfn.XLOOKUP(N$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8921951559288785E-2},{"$f":"_xlfn.XLOOKUP(O$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.9385356244159758E-2},{"$f":"_xlfn.XLOOKUP(P$14, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.9815342332232987E-2}]
[null,null,null,null,null,"Basic risk-free rate corresponding to D+1",{"$f":"_xlfn.XLOOKUP(G$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.9385356244159758E-2},{"$f":"_xlfn.XLOOKUP(H$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8216879219364972E-2},{"$f":"_xlfn.XLOOKUP(I$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8513013805178696E-2},{"$f":"_xlfn.XLOOKUP(J$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8921951559288785E-2},{"$f":"_xlfn.XLOOKUP(K$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8921951559288785E-2},{"$f":"_xlfn.XLOOKUP(L$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8921951559288785E-2},{"$f":"_xlfn.XLOOKUP(M$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":2.068612670895302E-2},{"$f":"_xlfn.XLOOKUP(N$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":2.068612670895302E-2},{"$f":"_xlfn.XLOOKUP(O$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8513013805178696E-2},{"$f":"_xlfn.XLOOKUP(P$15, T.RFR[Maturity '[Y']], T.RFR[GBP])","v":1.8216879219364972E-2}]
[null,null,null,null,null,"Linear interpolation of basic risk-free rate",{"$f":"G25+(G26-G25)/(G15-G14) * (G$13-G14)","v":1.8917965434241842E-2},1.8376725530651773E-2,1.9210887756363544E-2,1.8635695131411723E-2,1.8513013805178696E-2,1.8758376457644749E-2,1.9804039134120904E-2,1.9451204104188054E-2,1.9298122000261653E-2,{"$f":"P25+(P26-P25)/(P15-P14) * (P$13-P14)","v":1.901611077579898E-2}]
[]
[null,null,null,null,null,"Linear interpolation of long-term average spreads"]
[null,null,null,null,null,"Long-term average spread corresponding to D",{"$f":"_xlfn.XLOOKUP(G$14, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 0])","v":1.9547109444440262E-3},{"$f":"_xlfn.XLOOKUP(H$14, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 1])","v":6.8282002871084468E-3},{"$f":"_xlfn.XLOOKUP(I$14, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 2])","v":1.436898990954111E-2},{"$f":"_xlfn.XLOOKUP(J$14, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 3])","v":3.2443794987245443E-2},{"$f":"_xlfn.XLOOKUP(K$14, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 0])","v":-8.1782365437507753E-4},{"$f":"_xlfn.XLOOKUP(L$14, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 1])","v":3.797642358671696E-3},{"$f":"_xlfn.XLOOKUP(M$14, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 2])","v":8.2167822698455944E-3},{"$f":"_xlfn.XLOOKUP(N$14, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 3])","v":1.6366411260343251E-2},{"$f":"_xlfn.XLOOKUP(O$14, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 4])","v":4.7050186022009728E-2},{"$f":"_xlfn.XLOOKUP(P$14, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 5])","v":7.4553542087947539E-2}]
[null,null,null,null,null,"Long-term average spread corresponding to D+1",{"$f":"_xlfn.XLOOKUP(G$15, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 0])","v":2.3551182489567838E-3},{"$f":"_xlfn.XLOOKUP(H$15, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 1])","v":6.8282002871084468E-3},{"$f":"_xlfn.XLOOKUP(I$15, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 2])","v":1.5114239300129471E-2},{"$f":"_xlfn.XLOOKUP(J$15, T.LTASCorp_Finan[Maturity '[Y']], T.LTASCorp_Finan[CQS 3])","v":3.0297683002500918E-2},{"$f":"_xlfn.XLOOKUP(K$15, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 0])","v":-1.0593270166749879E-4},{"$f":"_xlfn.XLOOKUP(L$15, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 1])","v":4.6210949894956461E-3},{"$f":"_xlfn.XLOOKUP(M$15, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 2])","v":9.4555307014827748E-3},{"$f":"_xlfn.XLOOKUP(N$15, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 3])","v":1.6859961297500711E-2},{"$f":"_xlfn.XLOOKUP(O$15, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 4])","v":4.6239922456986278E-2},{"$f":"_xlfn.XLOOKUP(P$15, T.LTASCorp_NonFinan[Maturity '[Y']], T.LTASCorp_NonFinan[CQS 5])","v":7.4553542087947539E-2}]
[null,null,null,null,null,"Linear interpolation of LTAS",{"$f":"G30+(G31-G30)/(G15-G14)*(G13-G14)","v":2.1949553271516809E-3},6.8282002871084468E-3,1.4518039787658782E-2,3.1799961391822083E-2,-8.1782365437507753E-4,4.2917139371660661E-3,8.8361564856641837E-3,1.651447627149049E-2,4.6969159665507382E-2,{"$f":"P30+(P31-P30)/(P15-P14)*(P13-P14)","v":7.4553542087947539E-2}]
[]
[null,null,null,null,null,"Risk-corrected market yields"]
[null,null,null,null,null,"Spread",{"$f":"G22-G27","v":1.7877142361643929E-3},{"$f":"H22-H27","v":4.4523772387396396E-3},7.6913764011433856E-3,1.4734676004776598E-2,3.5322573592637754E-3,8.1832893413477693E-3,1.1207175546362146E-2,1.4788073585075855E-2,2.4739976250025907E-2,{"$f":"P22-P27","v":4.2471307072841705E-2}]
[null,null,null,null,null,"Risk correction",{"$f":"_xlfn.LET(_xlpm.SPLUS, MAX(G35, 0),\n     _xlpm.LTASPLUS, MAX(G32, 0),\n     _xlpm.RC, 50% * MIN(_xlpm.SPLUS, _xlpm.LTASPLUS) + 40% * MAX(0, MIN(_xlpm.SPLUS - _xlpm.LTASPLUS, _xlpm.LTASPLUS)) + 30% * MAX(0, _xlpm.SPLUS - 2 * _xlpm.LTASPLUS),\n     MIN(_xlpm.RC, 125% * _xlpm.LTASPLUS))","v":8.9385711808219644E-4},{"$f":"_xlfn.LET(_xlpm.SPLUS, MAX(H35, 0),\n     _xlpm.LTASPLUS, MAX(H32, 0),\n     _xlpm.RC, 50% * MIN(_xlpm.SPLUS, _xlpm.LTASPLUS) + 40% * MAX(0, MIN(_xlpm.SPLUS - _xlpm.LTASPLUS, _xlpm.LTASPLUS)) + 30% * MAX(0, _xlpm.SPLUS - 2 * _xlpm.LTASPLUS),\n     MIN(_xlpm.RC, 125% * _xlpm.LTASPLUS))","v":2.2261886193698198E-3},3.8456882005716928E-3,7.3673380023882989E-3,0,3.7024871302557142E-3,5.3664858671112767E-3,7.3940367925379273E-3,1.2369988125012953E-2,{"$f":"_xlfn.LET(_xlpm.SPLUS, MAX(P35, 0),\n     _xlpm.LTASPLUS, MAX(P32, 0),\n     _xlpm.RC, 50% * MIN(_xlpm.SPLUS, _xlpm.LTASPLUS) + 40% * MAX(0, MIN(_xlpm.SPLUS - _xlpm.LTASPLUS, _xlpm.LTASPLUS)) + 30% * MAX(0, _xlpm.SPLUS - 2 * _xlpm.LTASPLUS),\n     MIN(_xlpm.RC, 125% * _xlpm.LTASPLUS))","v":2.1235653536420852E-2}]
[null,null,null,null,null,"Risk-corrected market yield",{"$f":"G22-G36","v":1.981182255232404E-2},{"$f":"H22-H36","v":2.0602914150021592E-2},2.3056575956935235E-2,2.6003033133800021E-2,2.2045271164442472E-2,2.3239178668736805E-2,2.5644728813371775E-2,2.6845240896725981E-2,3.1668110125274609E-2,{"$f":"P22-P36","v":4.0251764312219836E-2}]
[]
[null,null,null,null,null,"Model bond market values"]
[null,null,null,null,null,"Market value market yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, G22,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.16264912312339488},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, H22,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.13631202523996719},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, I22,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.31459942421056419},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, J22,\n     _xlpm.DUR, J13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.1308280766630471},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, K22,\n     _xlpm.DUR, K13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":4.7199958817133805E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, L22,\n     _xlpm.DUR, L13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":4.4789631367869578E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, M22,\n     _xlpm.DUR, M13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":8.9847443837609536E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, N22,\n     _xlpm.DUR, N13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.12629164781421709},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, O22,\n     _xlpm.DUR, O13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":1.0144649347698357E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IR, P22,\n     _xlpm.DUR, P13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":1.0601942377754506E-2}]
[null,null,null,null,null,"Market value risk-free yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, G27,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.15870296777389145},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, H27,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.13169470275249062},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, I27,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.30513888726613947},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, J27,\n     _xlpm.DUR, J13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.13152930074220612},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, K27,\n     _xlpm.DUR, K13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":4.6579557762590929E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, L27,\n     _xlpm.DUR, L13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":4.4077535055936479E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, M27,\n     _xlpm.DUR, M13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":9.1793863887389276E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, N27,\n     _xlpm.DUR, N13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.1305753032876954},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, O27,\n     _xlpm.DUR, O13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":1.0195217915915893E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IR, P27,\n     _xlpm.DUR, P13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":1.0516197457599775E-2}]
[null,null,null,null,null,"Market value risk-corrected yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, G37,\n     _xlpm.DUR, G13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.16073146701675975},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, H37,\n     _xlpm.DUR, H13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.13400357141493496},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, I37,\n     _xlpm.DUR, I13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.30984959942584667},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, J37,\n     _xlpm.DUR, J13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.13117640339172226},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, K37,\n     _xlpm.DUR, K13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":4.6808119053433989E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, L37,\n     _xlpm.DUR, L13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":4.460562108579446E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, M37,\n     _xlpm.DUR, M13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":9.1162643549560329E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, N37,\n     _xlpm.DUR, N13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":0.12907781366604876},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, O37,\n     _xlpm.DUR, O13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":1.0284385849476507E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IR, P37,\n     _xlpm.DUR, P13,\n     _xlpm.CF * (1 + _xlpm.IR)^(-_xlpm.DUR))","v":1.0676888073941865E-2}]
[]
[null,null,null,null,null,"Portfolio Calculation"]
[]
[null,null,null,null,null,"Internal rate of return (IRR) calculation",{"$f":"G10","v":"Financials CQS 0"},{"$f":"H10","v":"Financials CQS 1"},"Financials CQS 2","Financials CQS 3","Non-Financials CQS 0","Non-Financials CQS 1","Non-Financials CQS 2","Non-Financials CQS 3","Non-Financials CQS 4",{"$f":"P10","v":"Non-Financials CQS 5"},null,"Sum","Obj. Func.","IRR"]
[null,null,null,null,null,"IRR discounted market yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  G13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.15938689870293105},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  H13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.13484004549551223},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  I13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.31285255830030839},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  J13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.13340654197992424},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  K13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":4.5992068321728155E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  L13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":4.4440399918587725E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  M13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":9.0967854341098872E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  N13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.12994411576811654},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  O13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":1.0621230320424491E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[Yield Cash Flow]),\n     _xlpm.IER,$T$47,\n     _xlpm.DUR,  P13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":1.1112979448515631E-2},null,{"$f":"SUM(G47:P47)","v":1.0735646925971474},{"$f":"(SUM(G40:P40)-R47)^2","v":9.0462471323365344E-8},2.8690674716178661E-2]
[null,null,null,null,null,"IRR discounted risk-free yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  G13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.15862763578184808},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  H13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.13151618138650631},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  I13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.30524126761820369},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  J13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.1312695748565455},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  K13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":4.6471595799740834E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  L13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":4.4008803901114273E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  M13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":9.2141177867169965E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  N13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.13081122216782431},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  O13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":1.0201237915054702E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RFR Cash Flow]),\n     _xlpm.IER,$T$48,\n     _xlpm.DUR,  P13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":1.0514836360164497E-2},null,{"$f":"SUM(G48:P48)","v":1.0608035336541723},{"$f":"(SUM(G41:P41)-R48)^2","v":6.1346971167172419E-20},1.9104046859383168E-2]
[null,null,null,null,null,"IRR discounted risk-corrected yield model bond",{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(G$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  G13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.15898046328535903},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(H$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  H13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.13313119835308204},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(I$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  I13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.30882377908087072},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(J$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  J13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.13221816156440544},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(K$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  K13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":4.6430446484275509E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(L$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  L13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":4.4429951286656326E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(M$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  M13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":9.1912951557920078E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(N$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  N13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":0.13091052951979959},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(O$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  O13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":1.0521272362246712E-2},{"$f":"_xlfn.LET(_xlpm.CF, _xlfn.XLOOKUP(P$10, T.RefPortCurrencyCorp[Issuer], T.RefPortCurrencyCorp[RC Yield Cash Flow]),\n     _xlpm.IER,$T$49,\n     _xlpm.DUR,  P13,\n     _xlpm.CF * (1 + _xlpm.IER)^(-_xlpm.DUR))","v":1.0930192436931477E-2},null,{"$f":"SUM(G49:P49)","v":1.0682889459315468},{"$f":"(SUM(G42:P42)-R49)^2","v":7.6679087302945141E-9},2.4117330737212735E-2]
[]
[null,null,null,null,null,"Portfolio spread and risk correction","Total"]
[null,null,null,null,null,"Portfolio spread",{"$f":"V.IER_Yield_Corp_Cur-V.IER_RFR_Corp_Cur","v":9.5866278567954925E-3}]
[null,null,null,null,null,"Portfolio risk correction",{"$f":"V.IER_Yield_Corp_Cur-V.IER_RCYield_Corp_Cur","v":4.5733439789659262E-3}]

{"sheet":"RCS","index":10,"n_rows":19,"n_cols":13,"rows_kept":19,"cut":false,"hidden":false,"merged":[]}
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
[]
[null,null,null,null,null,"Risk-Corrected Spreads"]
[]
[null,null,null,null,null,"Currency RCS"]
[]
[null,null,null,null,null,"IRRs calculated",{"$f":"_xlfn.LET(_xlpm.THRESHOLD, 0.000001,\n     AND(V.IER_Yield_Gov_Cur_Obj < _xlpm.THRESHOLD, V.IER_RFR_Gov_Cur_Obj < _xlpm.THRESHOLD,\n         V.IER_RCYield_Gov_Cur_Obj < _xlpm.THRESHOLD, V.IER_Yield_Corp_Cur_Obj < _xlpm.THRESHOLD,\n         V.IER_RFR_Corp_Cur_Obj < _xlpm.THRESHOLD, V.IER_RCYield_Corp_Cur_Obj < _xlpm.THRESHOLD))","v":true}]
[null,null,null,null,null,null,{"$f":"V.W_GOV_GBP/(V.W_GOV_GBP+V.W_CORP_GBP)","v":0.23553719008264462}]
[null,null,null,null,null,null,{"$f":"V.W_CORP_GBP/(V.W_GOV_GBP+V.W_CORP_GBP)","v":0.76446280991735538}]
[null,null,null,null,null,null,{"$f":"V.S_GOV_GBP","v":9.3453566040471517E-3}]
[null,null,null,null,null,null,{"$f":"V.S_CORP_GBP","v":9.5866278567954925E-3}]
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[null,null,null,null,null,null,{"$f":"V.W_GOV_GBP_NORM * V.RC_GOV_GBP + V.W_CORP_GBP_NORM * V.RC_CORP_GBP","v":3.4961513888789107E-3}]
[null,null,null,null,null,null,{"$f":"V.S_GBP-V.RC_GBP","v":6.0336481149965183E-3}]

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[null,null,null,null,null,null,null,null,null,null,null,null,"©EIOPA, 2026."]
[]
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[null,null,null,null,null,"Disclaimer"]
[]
[null,null,null,null,null,"The content of this workbook is made available by EIOPA for public information purposes only. It is not intended to be used for any other purpose. EIOPA shall not be liable for any error or inaccuracy in the content of this workbook, for any action taken in reliance thereon. EIOPA expressly disclaims all warranties, expressed or implied, as to the accuracy of any of the content provided or as to the merchantability or fitness of the content provided.\n\n© EIOPA - European Insurance and Occupational Pensions Authority, 2026.\nReproduction is authorised provided that you acknowledge EIOPA as the source: \"Source: © EIOPA – European Insurance and Occupational Pensions Authority\".\n"]