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.
- Publication date
- 6 December 2023