EIOPA recently published two reports related to UFR, to complement its announcements on proposed changes from end-March.
1. Final Report on consultation paper on the methodology to derive the ultimate forward rate (UFR) and its implementation
The report includes
- Main comments received from stakeholders on the UFR consultation of 2016 and resolution of these
- Final methodology to derive the UFR and its proposed implementation
- Results of the information request to undertakings on the UFR
The report is accompanied by an example calculation of historical real rates, based on nominal rates and inflation.
Final Report on Consultation Paper No 16003 on the methodology to derive the UFR.pdf
2. Report on the calculation of the ultimate forward rate (UFR) for 2018
The UFR for 2018 has been calculated in accordance with the updated methodology to derive the UFR.
The calculated UFR for the euro for 2018 is 3.65%.
The annual change of the UFR is limited to 15 basis points. This UFR will be applied for the first time for the calculation of the risk-free rates of 1 January 2018 and will be set at 4.05%.