EIOPA publishes an example of the new method to calculate the Credit Risk Adjustment

The European Insurance and Occupational Pensions Authority (EIOPA) published today an example of the new method to calculate the Credit Risk Adjustment (CRA) for “situation 3” according to paragraphs 7.3.8. – 7.3.14 of EIOPA’s Technical Documentation on the methodology to derive EIOPA’s risk-free interest rate term structures.

EIOPA will start using this new method for the calculation of the CRA as of January 2024, for which the respective end-of-month results will be published at the beginning of February 2024.

The publication is a response to several inquiries by (re-)insurance undertakings replicating EIOPA’s RFR methodology.

The Excel file with the example is available on EIOPA's website and can be accessed under Background Material.