Discounting Rate Calculation

wilsonchan18wilsonchan18
in CCIR.ARinstr

Hi,

Is this formula still being tested? If so, should we take book value or market value:
discount rate = a weighted average of the annual effective yields with weights = (duration) x (value)

Thanks and Warm Regards,
Wilson

Comments

  • Staff-T1Staff-T1

    Hi,

    Yes but I wouldn't expect it to be tested. You would weigh with the Market Value

  • wilsonchan18wilsonchan18

    Hi, But I think in the Solution PDF from the Ranking Table, I kind of read that should weigh Book Value on (Hold To Maturity) and weigh Market Value on Available for Sale? OR has this been updated to use all weigh by MV using IFRS17 Discounting? Thanks

  • Staff-T1Staff-T1

    So HTM and AFS were on a previous paper that has since been removed. In general, when calculating the discount rate for unpaid claims, you would do a Market value-duration weighted calculation for the overall portfolio yield. IFRS17 discounting is a completely different beast so I won't get into it here :)

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