Since our replication for the EUR VA of 31/12/2014 only amounts to 14 BP instead of the official 17 BP could you please provide some additional details on how non central government bonds are calculated within the s_corp parameter.
- Which non central government bonds (indices) are used in the calculation of s_corp.
- Which relevant percentage of the LTAS has to be applied to non central gov. bonds in the calculation of the risk correction (30% or 35%)?
- If there is any PoD/CoD applied, how is it calculated?
- Is there a worked example with the officially published data available.
"The non-central government bond market yields used in the calculation of the average spreads on bonds other than central government bonds and other than central bank bonds (Scorp) are based on the Bloomberg government bond indices set out on pages 23 and 24 of the Technical Documentation.
The floor of 30% of the LTAS currently only applies to central government and central bank bonds of Member States. For other bonds, including non-central government bonds other than those mentioned above, a floor of 35% of the LTAS is applied.