Question ID: 1280
Regulation Reference: Risk-Free Interest Rate - General questions
Article: 43
Status: Final
Date of submission: 24 Apr 2018
Question
Regarding the updated methodogy for claculating the UFR, I would ask to know why did you use the nominal short term intrest rate and not the long term, as the UFR should represent the long term RFR?
EIOPA answer
According to Article 47 of Commission Relegated Regulation (EU) 2015/35 the UFR should not include a term premium to reflect the additional risk of holding long-term investments. In order to avoid that the UFR includes a term premium nominal short term interest rates are used in the calculation of the UFR.