Question ID: 1558
Regulation Reference: Risk-Free Interest Rate - General questions
Status: Final
Date of submission: 24 Apr 2018
Question
Usually our own calculation of DKK Risk Free Interest Rate without Volatility Adjustment matches EIOPA's exactly.
For end March, we get small differences. We are using market data at end of March 30th. Could you say what you are using as input 10 year swap rate?
EIOPA answer
The term structure for the Danish krone is based on euro swap rates as provided by the data provider Bloomberg for the ticker EUSA CMPL Curncy. For 30 March 2018 Bloomberg did not provide a swap rate for the maturity of 10 years and the risk-free interest rate for that maturity was derived by means of Smith-Wilson interpolation, in accordance with paragraph 115 of the technical documentation on the derivation of the term structures.