Under the new extrapolation methodology introduced as part of the Solvency II 2020 Review, zero-coupon yields beyond the First Smoothing Point (FSP) are derived using a weighted combination of the Last Liquid Forward Rate (LLFR) and the Ultimate Forward Rate (UFR). The LLFR itself is calculated as a weighted average of selected forward rates with maturities before and after the FSP. The corresponding weighting factors are determined based on an assessment of the liquidity of the relevant swap market. For undertakings to independently reproduce the LLFR and the resulting extrapolated risk-free interest rate term structures, the applicable weighting factors are therefore required.

This question has been rejected because the issue it deals with is already explained in the RFR Technical documentation.

The LLFR weights are to be updated annually and will be reported in the RFR Technical Documentation. Please refer to the ‘Background material’ section of the EIOPA RFR webpage for the updated RFR Technical Documentation (published on 26 May 2026) that will apply from 30 January 2027. As noted in Table 2 of that document, the LLFR weights reported in the table will be updated once EIOPA finalises the 2026 depth, liquidity and transparency (DLT) assessment. The 100% weights currently reported in the table reflect the present situation and are assigned to the last liquid point for each currency.