EIOPA · 1551
1551
- Regulation
- Risk-Free Interest Rate - Financial market data
- Article
- 43
- Submitted
- 2018-04-24
- Answered
- 2019-10-24
Question
CAA need to reconstruct the rfr term structure for Poland currency.However, for the end of december 2017, we observe difference between our calculation (which follow the Technical documentation that you provide) and the curve you deliver on the 01/09/18.
For our calculation, we use the PLN Government Bond curve (G0177Z BLC2 Curncy) provided by Bloomberg.For exemple, we have following data :
Our calculation at 12/31/17:G0177Z BLC2 Curncy 1Y : 1.490RFR_spot_no_VA 1Y PLN : 1.390RFR_spot_no_VA 1Y PLN : 1.500
vsEIOPA :RFR_spot_no_VA 1Y PLN : 1.401RFR_spot_with_VA 1Y PLN : 1.511
We also did the calculation for Euro currency and find the same curve that you provided.
May I have some explaination on how (with which data) you calculate the PLN RFR term structure ?
Answer
We understand that the difference between your and our calculation of Polish zloty risk-free interest rates relates to the transformation from continuously compounded to annual compounded rates.
According to the notes under table 1 of the technical documentation on the risk-free interest rates (page 24, https://www.eiopa.europa.eu/sites/default/files/publications/technical_…) the Bloomberg government bond tickers (with the exception of Iceland) need to be converted from continuous to annual compounded rates. For Bloomberg swap rates such a conversion is not necessary.
The Bloomberg data that you used are identical to the ones we applied, but they were apparently not converted from continuous to annual compounded rates.
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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