Question ID: 1545
Regulation Reference: Risk-Free Interest Rate - VA calculations
Article: 50
Status: Final
Date of submission: 24 Apr 2018
Question
For EUR, we calculated a VA of 0 bps at end of February. Would it be possible to receive your calculation of 1 bp? With your subresults, so we can see where's the difference? On the Sgov, Scorp, RCsov, RCcorp. If you have any more detail on the calculation, we are very happy to receive.
EIOPA answer
Please find below intermediary results of the calculation of the volatility adjustment for the euro for end-February 2018. The intermediary results relate to the internal effective rates (IER), the spread before risk-correction (S), the risk-correction (RC) and the spread after risk correction (S-RC), both for the government bond and the corporate bond part of the VA calculation. The unrounded VA was 0.8383 bp, rounded to 1 bp.