White paper ‘The curse of the UFR-drag’

Roll risk management for pension funds

White paper ‘The curse of the UFR-drag’

For the valuation of pension liabilities, pension funds in the Netherlands use the so-called interest rate term structure (IRTS) with the ultimate forward rate (UFR) curve. This curve basically allows pension funds to apply a higher rate to value their liabilities – the UFR is currently at 1.9% – than interest rates observed in financial markets. Now pension funds are suffering from the so-called UFR-drag.

To download this white paper ‘The curse of the UFR-drag‘, please fill out the form below.

If you do not see the fields of the form, this may be due to the security settings of your browser. Please click here for a link to the form.