Risk Free Rate (RFR)

Question

We have seen that the risk free rate term structure has been published for end of April (https://www.eiopa.europa.eu/eiopa-publishes-monthly-technical-information-solvency-ii-relevant-risk-free-interest-rate-term-2024-05-06_en) on 6 May. We see the mismatch in Canada risk free rates between our own bootstrapping version (using SW extrapolation) and your version. We used the CAD semiannual OIS rates snapped on 30 April sourced from Refinitiv - the data was confirmed to be updated and if we used the Excel of SW extrapolation provided on EIOPA website (https://register.eiopa.europa.eu/Publications/Standards/Smith-Wilson%20Risk-Free%20Interest%20Rate%20Extrapolation%20Tool%2027102015.xlsb), we got the same result. We tried to bootstrap the CAD risk free rate curve using the same methodology but with the CAD OIS rates snapped on 29 April (1 day before the April month end) and we saw that the result matched your published result. Moreover, we also see that the volatility adjusted version of risk free rate curves also mismatch - if we used the CAD OIS rates and Canadian government rates snapped on 29 April (not 30 April), we got the same result as you published. Could you please check if there is any staleness in your data for the extrapolation process?

European Insurance and Occupational Pensions Authority · Accepted Answer

For the production of the CAD risk-free interest rate term structures, EIOPA used the data provided by the market data provider for April 30 at the time when our process was run.

Historical price corrections made by the market data provider at a later point in time can only be taken into account if the originally provided data is deemed obviously wrong during our validation process and the new data is available within the short timeframe allocated to our production process. This has not been the case.

Risk Free Rate (RFR)

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