Question ID: 3634
Regulation Reference: Risk-Free Interest Rate - Extrapolation
Topic: Risk Free Rate (RFR)
Status: Rejected
Date of submission: 14 Aug 2026
Question
Under the new RFR methodology from 2027, will EIOPA publish the bootstrapped/pre-extrapolation curve needed to calculate the LLFR after applying the interest-rate stresses, or only the final extrapolated curve?
Background of the question
Our understanding is that the LLFR must be recalculated after applying the interest-rate stress to the bootstrapped curve. This does not appear possible using only the final extrapolated curve.
EIOPA answer
EIOPA plans to publish basic interest rate risk curves (up and down shocks) together with an LLFR from February 2027 onwards.