EIOPA · 2037
Risk Free Rate (RFR)
- Regulation
- Risk-Free Interest Rate - Credit and currency adjustments
- Article
- N/A
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2019-10-14
- Answered
- 2021-08-02
Question
The calculation of the HKD CRA is changed from situation 1 to situation 3 for 20190930. Why did it happen?
Answer
Thanks for your question on the HKD CRA.I can confirm that the CRA for HKD as of 30 September 2019 has been calculated using situation 3.We are updating the market data on a monthly basis for the previous month. Currently, 14.5% of HKD OIS data are missing.However, the rule of more than 80% of available data applies to the combination of IBOR and OIS data. When this is combined, only 79.77% of data are jointly available and thus, situation 3 applies instead of situation 1.
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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