Moody Analytics published a white paper on the permitted approaches for constructing IFRS 17 discount rates.
https://www.moodysanalytics.com/landing/2018/insurance-ifrs17-discount-rates-whitepaper-media
As a reminder, under IFRS 17 rules discount rate curves will be used to determine the value of contract liabilities shown on the balance sheet. These curves will affect present value of fulfilment cash flows, contractual service margins, profit and loss, and other comprehensive income measures, and therefore will set the level of insurance finance expenses. This white paper offers a view on the permitted approaches for constructing insurance contract discount rates under the IFRS 17 rules.
The white paper covers:
- • Significance and use of discount curves in the IFRS 17 reporting process
- • Top-down and bottom-up techniques used to construct discount curves
- • Considerations and methodological challenges when applying the yield curve construction method
- • Potential impact of the curves on financial results