The Technical Provisions Task Group and KPMG ran a workshop for industry participation on risk-free rates recently. The idea was to see whether we could improve the extent and quality of industry comment on key, controversial areas of the proposed SAM regime.
Turnout was good, but not great, but the discussion and points raised were all fantastic. Plenty more to do from here onwards, but I thought it might be useful to include the presentations somewhere publicly available.
Some of the concepts that were on the agenda
- Swaps vs Bonds, the theory as well as practical implications for insurers, banks and the capital markets
- Extrapolation methods and what challenges this creates for practitioners
- Identifying and measuring illiquidity premiums, credit spreads and the difference between Expected Default Loss and Credit Risk Premiums
- European developments on Matching Adjustments and Countercyclical Premiums. Should we follow their path? Is bottom-up or top-down more practical?
- Do we need a methodology for nominal and/or real yield curves?
- Non-South African countries – what is the practical answer to requiring multiple yield curves?
- Reducing regulatory arbitrage between banks and insurers for credit and market risk on swaps and bonds
- David Kirk
- Ian Marshall
- Philip Harrison
- Brian Kipps
- Lance Osburn
- Lindy Schmaman
- Louis Scheepers
Presentations (reproduced with permission from the authors)