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To capture the features of Danish covered bonds in the risk-free rate methodology accordingly, henceforth an improved version ("option-adjusted") of yield and duration data of a dedicated index for these contracts, the "Nykredit realkreditindeks", is used in the production process of the risk-free rate.
In addition, to ensure consistency in the RFR calculation, assets reported by undertakings as being "unrated" were reallocated to the Solvency-II-inherent stepping of credit risk classes (Credit Quality Steps - CQS) by differentiating between financial and non-financial ones.
Furthermore, the technical documentation contains some minor amendments in the use of data fields of certain Markit iBoxx indices for the RFR calculation. These non-material changes for a limited number of corporate bonds were necessary to fully unify the concepts used across currencies and CQS.
The updates will be implemented with the upcoming risk-free rate production cycle for end-August 2018, to be published beginning of September 2018.