EIOPA · 1518
1518
- Regulation
- Risk-Free Interest Rate - General questions
- Article
- 43
- Submitted
- 2018-06-28
- Answered
- 2019-10-24
Question
In Annex 14M of the 'Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures' there is reference to the fact that transition matrices are downloaded by EIOPA from S&Ps.
Could you please give some background about how this was done, so I can replicate this process?
Answer
Information in addition to the specification in Annex 14.M of the RFR Technical Documentation of S&P fields for Financial and Non-financial bonds, respectively, that need to be chosen for downloading the proper transition matrices can be found on the “TM_Info” tab of the “PD_COD” spreadsheet of each RFR publication document set.
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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