Question ID: 3618
Regulation Reference: Risk-Free Interest Rate - VA calculations
Topic: Risk Free Rate (RFR)
Status: Final
Date of submission: 15 Jul 2026
Question
The EIOPA technical documentation appears to differ from some industry publications regarding the calculation of the Credit Spread Sensitivity Ratio (CSSR). Industry publications have described the CSSR as: Asset PVBP / Liability PVBP However, our review of Section 9.3 of the technical documentation showed a different formula for the CSSR calculation that does not use PVBP. Could you please confirm whether we should follow the calculation methodology detailed in Section 9.3, or whether alternative approaches are considered acceptable?
EIOPA answer
EIOPA's RFR Technical Documentation is not aligned with the definition in Article 51(a), paragraphs (2) and (3) of the Delegated Regulation (DR), and apparently with some industry publications as well, where the discount curve for discounting the assets differs from the one used for discounting the liabilities. This omission will be fixed in the next publication of the RFR Technical Documentation.
Regarding the use of PVBP in both the numerator and the denominator or just the deltas doesn't make a difference in result, but we agree that alignment with the DR reduces the risk of confusion. This will be fixed as well in the next publication.