EIOPA · 1879
Risk Free Rate (RFR)
- Regulation
- Risk-Free Interest Rate - VA calculations
- Article
- N/A
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2019-03-18
- Answered
- 2021-07-30
Question
I am looking for the results at 31.12.2018 for the VA calculation displayed in the excel file "VA calculation example for one euro area country.xlsb".Would it be possible to have a view on the results available in the "Final Results" sheet at this date for Belgium (especially the S_RC crncy and the S_RC country)?
Answer
The “missing government bonds’ yields” are actually in the test-files on the worksheets VA_C_Govts_Yield_before. The numbers in there are based on the respective durations as in the worksheets VA_C_Govts_Dur. If the duration is non-integer the yield is derived based on lineair interpolation of the available surrounding integer yields. These yields are according to the Government Bond Tickers according to table 1 from art. 68 (and 69) of the Technical Documentation. Unfortunately we are not allowed to share this underlying data with you due to being proprietary data from Bloomberg.
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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