EIOPA · 1266
1266
- Regulation
- Risk-Free Interest Rate - Credit and currency adjustments
- Submitted
- 2018-04-24
- Answered
- 2019-10-24
Question
Why is there a sudden drop of the Credit Risk Adjustment for Australia from 35 bps in April 2015 to 15 bps in May 2015? BBSW6M and ADSOF CMPT Curncy market rates remain stable over this period. Is there a hidden methodological change?
Answer
Under the standard Bloomberg licence that EIOPA applies the BBSW6M index has not been not available. The Australian dollar has therefore been in the third situation of the credit risk adjustment calculation and was affected by the methodological changes made for the calculation for end-May 2016.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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