Question ID: 1472
Regulation Reference: Risk-Free Interest Rate - General questions
Status: Final
Date of submission: 24 Apr 2018
Question
In the paper which outlines the UFR calculation for 2018, there is a real yield table in annex one, what is the source for this data?
Also we are currently investigating the possiability of stressing the UFR, are you able to specifiy or point me to any documentation on how this should be done?
Also, in the documentation is mentions that the movement of the UFR is restricted to 15bps, would this still be the case under a stress scenario?
EIOPA answer
The source for the real rate data is specified in the technical documentation for the risk-free interest rate term structures, see footnotes to paragraph 356 (https://www.eiopa.europa.eu/sites/default/files/publications/technical_standards/technical_documentation_31_jan_2018_0.pdf).
However, regarding the latest UFR calculation for 2019 please note that the nominal rates to derive the real rates for the year 2017 are not yet available via AMECO. As explained in the report on the calculation of the UFR for 2019 (page 6, https://www.eiopa.europa.eu/sites/default/files/publications/reports/calculation_of_the_ufr_for_2019.pdf), those rates are available from Eurostat.
No documentation on stressing the UFR is available. In the methodology for the derivation of the UFR the limit to annual movements of the UFR of 15 bps applies without exceptions.