Question ID: 2011
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Risk Free Rate (RFR)
Article: Article 37(1)
Status: Final
Date of submission: 21 Jul 2019
Question
Does the risk-free rate referenced for discounting the cashflows in the formula in paragraph 1 of article 37 include the use of UFR?
EIOPA answer
Consistent with the Answer to Q&A2010 , the risk free rate used to calculate the denominator of the risk margin should come from the data published monthly by EIOPA. This Risk-Free Interest Rate Term Structures can be found here : https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures-0_en
Those curves are built upon a methodology that relies on the definition of an Ultimate Forward Rate.