Question ID: 1518
Regulation Reference: Risk-Free Interest Rate - General questions
Article: 43
Status: Final
Date of submission: 28 Jun 2018
Question
In Annex 14M of the 'Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures' there is reference to the fact that transition matrices are downloaded by EIOPA from S&Ps.
Could you please give some background about how this was done, so I can replicate this process?
EIOPA answer
Information in addition to the specification in Annex 14.M of the RFR Technical Documentation of S&P fields for Financial and Non-financial bonds, respectively, that need to be chosen for downloading the proper transition matrices can be found on the “TM_Info” tab of the “PD_COD” spreadsheet of each RFR publication document set.