EIOPA · 1511
1511
- Regulation
- Risk-Free Interest Rate - VA calculations
- Submitted
- 2018-04-24
- Answered
- 2019-10-24
Question
Looking in sheet "ScorpC" and the step "Linear Interpolation of Market yield before risk correction".Can it be confirmed that the "Linear Interpolation of Market yield before risk correction"i) has to be adjusted with (1+kfactor) x (rfr DKK - rfr EUR) ,cf. section 10.C.4. in the Technical Document, 20 Dec 2017 ? andii) this adjustment has to be done for every Asset Class and "Markit Header"/Credit quality step?
Answer
On question (i): Yes.On question (ii): Only for those sectors and CQS where the approach described in paragraph 279 of the technical documentation applies. For the Danish krone this is the case for financial and non-financial corporate bonds of all CQS other than for CQS0 financial bonds where an alternative approach in accordance with paragraph 281 of the technical documentation applies (Nykredit index).
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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