EIOPA · 1558
1558
- Regulation
- Risk-Free Interest Rate - General questions
- Submitted
- 2018-04-24
- Answered
- 2019-10-24
Question
Usually our own calculation of DKK Risk Free Interest Rate without Volatility Adjustment matches EIOPA's exactly.
For end March, we get small differences. We are using market data at end of March 30th. Could you say what you are using as input 10 year swap rate?
Answer
The term structure for the Danish krone is based on euro swap rates as provided by the data provider Bloomberg for the ticker EUSA CMPL Curncy. For 30 March 2018 Bloomberg did not provide a swap rate for the maturity of 10 years and the risk-free interest rate for that maturity was derived by means of Smith-Wilson interpolation, in accordance with paragraph 115 of the technical documentation on the derivation of the term structures.
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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