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European Insurance and Occupational Pensions Authority

1273

Q&A

Question ID: 1273

Regulation Reference: Risk-Free Interest Rate - Extrapolation

Article: 46

Status: Final

Date of submission: 24 Apr 2018

Question

According to the UFR Press Release (05 April 2017) the UFR methodology will be applied for the first time in the calculation of the risk-free interest rates of January 2018 to be published in February 2018.

Just to be sure: The SII Quarterly Reporting Q4-2017 as well as SII Yearend-Reporting 2017 will be based on the "old" UFRs. The first apllication of the "new" UFRs will be for SII Quarterly Reporting Q1-2018.

EIOPA answer

The term structures that EIOPA will publish for 31 December 2017 will be based on the UFRs that are currently applied. We expect that the European Commission will make those term structures binding for reference dates falling within the period from 31 December 2017 to 30 March 2018 by setting them out in implementing acts.

The term structures based on amended UFRs will be used by EIOPA for reference dates from 1 January 2018 onwards, but will only be relevant for the implementing acts that cover the reference dates after 30 March 2018.