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European Insurance and Occupational Pensions Authority

1559

Q&A

Question ID: 1559

Regulation Reference: Risk-Free Interest Rate - General questions

Article: 43

Status: Final

Date of submission: 26 Jun 2018

Question

I have a follow up question as my initial question was not completely answered. I hope itit helps if I further clarify my area of interest.

a) I understand that EIOPA has a prescribed list of currencies which is reviewed on an annual basis. I understand that adding currencies depends on their materiality. Is there a specific statistic that you are referring to in this materiality assessment, that is publically available and shows the number of undertakings and total amount exposed per currency? Is there a defined threshold for this materiality assessment? I would like to understand whether it is realistic that the UAE dirham or the shekel might become material anytime in the near future.

b) according to section 3.B on the documentation referred to in your answer below the criteria to select a currency include materiality as well as data availability. Is there any information available on those currencies that were not included due to a lack of reliable and adequate financial market data to perform the calculation?

c) Is there any other guidance on how to set all the parameters for those currencies EIOPA does not consider material? This would be helpful to ensure a consistent application. Even if these currencies are not material on a European level overall, they might be relevant in certain markets, lines of business etc. 

EIOPA answer

The answers to your separate questions are as follows:
a) No materiality thresholds have been specified until today in relation to including a currency in the RFR calculation.
b) The availability of such information was not checked, as the analysis did not identify any additional currencies for the RFR framework.
c) Information on how to implement non-reported currencies can be found in section 4.E. of the TD.