Question ID: 355
Regulation Reference: Risk-Free Interest Rate - Matching adjustment
Article: 54
Status: Final
Date of submission: 25 Aug 2015
Question
Please could you clarify the cause of the jump downwards in fundamental spreads in the April numbers. Our analysis shows that the April numbers are more in line with the published methdology but would. Would it be possible to:
a) clarify the root cause of the change
b) confirm that there are no plans for futher changes
c) if there was a methodology issue republish previous months on the corrected basis
d) attach comments to the spreadsheets describing any changes since the last period
EIOPA answer
Some refinements to the calculations of risk-free interest rate term structures may be made during the preparatory phase until the end of this year. Between the calculation of the end-April and end-May term structures a correction was made to the software code used to implement the methodology for the calculation of the probability of default and the cost of downgrade. That correction resulted in lower spreads, in particular for high maturities.
Further refinements cannot be ruled out. EIOPA will provide corrected figures for end December 2014 at the beginning of August 2015. The refinements will be noted in the FAQ document on EIOPA's website (link).