Question ID: 1557
Regulation Reference: Risk-Free Interest Rate - General questions
Status: Final
Date of submission: 24 Apr 2018
Question
I try to reproduce the CAD risk free rate yield curve from 31.03.2018. I have a 10bp difference for the 1Y CAD spot rate published in the file EIOPA_RFR_20180331_Term_Structures.xlsx (and almost 0 for the 2y ...). When I'm calculating this 1Y spot rate, I have a value around 0.01776 (almost like for 28.02.2018). This is pretty far from the value 0.01884 published in the Excel file. Could you please explain me how you are calculating this 1Y spot rate ?
EIOPA answer
The term structure for the Canadian dollar for end of March 2018 is based on the swap rates of 30 March 2018 as provided by the data provider Bloomberg for the ticker CDSW CMPN Curncy. For 30 March Bloomberg did not provide a swap rate for the maturity of 1 year. Therefore the risk-free interest rate was derived by means of Smith-Wilson extrapolation, in accordance with paragraph 115 of the technical documentation on the derivation of the term structures.