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European Insurance and Occupational Pensions Authority

1518

Q&A

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.