rec_30

(30) The relevant risk-free interest rate term structure should avoid artificial volatility of technical provisions and eligible own funds and provide an incentive for good risk management. The choice of the starting point of the extrapolation of risk-free interest rates should allow undertakings to match with bonds the cash flows which are discounted with non-extrapolated interest rates in the calculation of the best estimate. Under market conditions similar to those at the date of entry into force of this Directive, the starting point for the extrapolation of risk-free interest rates, in particular for the euro, should be at a maturity of 20 years. Under market conditions similar to those at the date of entry into force of this Directive, the extrapolated part of the relevant risk-free interest rate term structure, in particular for the euro, should converge in such a way to the ultimate forward rate that for maturities 40 years past the starting point of the extrapolation the extrapolated forward rates do not differ more than three basis points from the ultimate forward rate. For currencies other than the euro, the characteristics of the local bond and swap markets should be taken into account when determining the starting point for the extrapolation of risk-free interest rates and the appropriate convergence period to the ultimate forward rate.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-20 · Text as adopted (Official Journal); later amendments are not incorporated in this text.