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Displaying 7 results
  1. 714

    Article Risk-Free Interest Rate- Matching adjustment 77c, 53, 217 Final Wednesday, 20 July, 2016- 15:15 to Thursday, 24 October, 2019- 15:15 For the purpose of calculation of MA [Article 77c(1)(a) of the Solvency II Directive] the undertaking shall only consi ...

  2. 676

    Article Risk-Free Interest Rate- Matching adjustment 181 Final Wednesday, 20 July, 2016- 15:15 to Thursday, 24 October, 2019- 15:15 The de-risked cashflows for default (by applying (1-PD) + PD x (1-0.7)) are lower than the Fundamental Spread adjusted cashflow ...

  3. 660

    Article Risk-Free Interest Rate- Matching adjustment 43 Final Tuesday, 29 March, 2016- 15:00 to Thursday, 24 October, 2019- 15:00 It appears that the Matlab code publised contains a bug in the calculation of the LTAS for sovereigns other than EUR countries. T ...

  4. 429

    Article Risk-Free Interest Rate- Matching adjustment 54 Final Tuesday, 25 August, 2015- 15:15 to Thursday, 24 October, 2019- 15:15 After applying the published PDs to de-risk the cash-flows of corporate bonds, shall we use the published CoD figures to calcula ...

  5. 355

    Article Risk-Free Interest Rate- Matching adjustment 54 Final Tuesday, 25 August, 2015- 15:15 to Thursday, 24 October, 2019- 15:15 Please could you clarify the cause of the jump downwards in fundamental spreads in the April numbers.  Our analysis shows that t ...

  6. 339

    Article Risk-Free Interest Rate- Matching adjustment 54 Final Tuesday, 25 August, 2015- 14:45 to Thursday, 24 October, 2019- 14:45 We are unsure about which of the probability of default and fundamental spread parameters provided by EIOPA to apply to bond cas ...

  7. 296

    Article Risk-Free Interest Rate- Matching adjustment 54 Final Tuesday, 25 August, 2015- 14:30 to Thursday, 24 October, 2019- 14:30 Government: PD are not provided. Shouldn ´t we calculate the derisked Cash Flows? Why are some FS negative when it is supposed t ...