Fiera Capital’s CIA IFRS 17 Market Curves and Reference Curves

Fiera Capital’s CIA IFRS 17 Market Curves and Reference Curves

In January 2021, The Canadian Institute of Actuaries (“CIA”) retained the services of Fiera Capital Corporation (“Fiera Capital”) to produce, on a monthly basis, the Fiera Capital’s CIA IFRS 17 Market Curves and Reference Curves.

Our Approach

A complete description of the methodology used to develop the IFRS 17 reference curves, as well as the rationale used to establish this methodology, can be found in the CIA’s Draft Educational Note IFRS 17 Discount Rates for Life and Health Insurance Contracts, published by the Committee on Life Insurance Financial Reporting in June 2020. The material provided by the CIA also includes an Excel spreadsheet that builds the IFRS 17 references curves. The Draft Educational Note IFRS 17 Discount Rates and Cash Flow Considerations for Property and Casualty Insurance Contracts published by the Committee on Property and Casualty Insurance Financial Reporting (PCFRC) also provides guidance on the topic of Discount rates and refers to the IFRS 17 reference curves.  The IFRS 17 reference curves apply to both Property and Casualty, and Life and Health Insurance Contracts. An Update to CLIFR and PCFRC draft educational notes on discount rates was also published in June 2021 and contains the updated guidance on the parameters to be used to set the reference curves.  Actuaries would refer to the CIA draft educational notes for guidance related to the application of the reference curves.

It should be noted that the reference curve parameters described in the June 2020 CLIFR draft educational note have been used for the reference curves up to December 31, 2019.  The reference curve parameters described in the Update to the CLIFR and PCFRC draft educational notes have been used for the reference curves beyond December 31, 2019.

Some of the key inputs used in the establishment of the IFRS 17 reference curves for insurance companies in Canada are the observables market rates on the Canadian bond market. This includes a Government of Canada (i.e. “risk-free”) market curve, a provincial bond market curve and a corporate bond market curve. The Implementation Note in the Methodology section (below) describes how these market curves are developed by Fiera Capital, and how these curves are then used to establish the IFRS 17 reference curves.

Curves

August 2021

July 2021

June 2021

May 2021

April 2021

March 2021

February 2021

January 2021

December 2020

November 2020

October 2020

September 2020

August 2020

July 2020

June 2020

May 2020

April 2020

March 2020

February 2020

January 2020

December 2019

November 2019

October 2019

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Legal Note

This document is provided for your private use and for information purposes only as of the date indicated herein and is subject to change without notice. It has been prepared and is based on information believed to be reliable. However, Fiera Capital Corporation (“Fiera Capital”) makes no representation or warranty, express or implied, in respect thereof, takes no responsibility for any errors and omissions which may be contained therein or accepts any liability whatsoever for any loss arising from any use of or reliance on this document whether relied upon by the recipient or user or any other third party (including, without limitation, any customer of the recipient or user).

The information, opinions, estimates, projections and other materials contained herein are not to be construed as an offer to sell, a solicitation for or an offer to buy, any products or services referenced herein (including, without limitation, any commodities, securities or other financial instruments), nor shall such information, opinions, estimates, projections and other materials be considered as investment advice or as a recommendation to enter into any transaction. No part of this document or any related material and information may be reproduced in any manner without the prior written permission of Fiera Capital.

 The Fiera Capital’s CIA IFRS 17 market curves and reference curves, and certain content of the related implementation note, have been created using data from, unless otherwise specified, the FTSE Canada Fixed Income Indexes which are used with permission from FTSE Russel. FTSE Russel is licensing the FTSE Canada Fixed Income Indexes “as is,” makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the FTSE Canada Fixed Income Indexes or any data included in, related to, or derived therefrom, assumes no liability in connection with their use, and does not sponsor, endorse, or recommend Fiera Capital, or any of its products or services.

Canadian Institute of Actuaries and CIA trademarks are owned by the Canadian Institute of Actuaries and are used under license. Nothing contained in this document should be construed as granting any licence or right to use any of the Canadian Institute of Actuaries or CIA trademarks for any purpose whatsoever without the written permission or applicable licence terms of the lawful owner. Unauthorised use of these trademarks is strictly prohibited and may violate trademark, copyright or other applicable laws. The Canadian Institute of Actuaries did not prepare and is not responsible for the preparation or publication of the data, rates or curves appearing in this document. No responsibility or liability can be accepted by the Canadian Institute of Actuaries nor its directors, officers, employees, partners, or members for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from use of the data, rates or curves featured on this website (b) any direct, indirect, special, consequential or incidental damages whatsoever, even if the Canadian Institute of Actuaries, its directors, officers, employees, partners or members is advised in advance of the possibility of such damages, resulting from the use of, or inability to use such data, rates or curves or any information.