![]() ![]() Some OIS maturities are excluded on liquidity grounds. The main differences are summarised in the following table: ![]() These differ from the curves published here in a number of ways, so can be expected to differ for the same valuation date. The information includes risk-free rate term structures. The Prudential Regulation Authority (PRA) publishes technical information for UK insurance firms subject to Solvency II to calculate technical provisions. (For the respective yield calculations a formula is used, which is set by the Debt Management Office (DMO) and which varies according to the type of the ILGB, and accrued interest is added to the quoted price, which varies according to the type of the ILGB.) Prices of both types of bond continue to be used as inputs in the fitting procedure.ġ In detail, new-style ILGB prices are quoted in “real, clean” (RC) terms: quoted prices include neither accrued interest nor accrued inflation old-style ILGB prices are quoted in “nominal, clean” (NC) terms: accrued inflation is included but accrued interest is not. ![]() Reflecting this, the 2017 revision of the real yield estimates corresponds to a switch of the price convention used in the fitting procedure from that characteristic of the “old-style” instrument to that of the “new-style” instrument 1. It is dominated now by the “new-style” type.
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