IFRS 17: Future of Discount Rates

IFRS 17 requires insurers to set appropriate discount rates for liabilities. Whilst IFRS 17 sets out broad principles, there are many techniques and methods that could be used to set suitable rates. The working party will consider the different ways discount rate mechanisms might operate, how actuaries may set up an appropriate framework, and draw attention to some of the advantages and disadvantages that might be encountered in practice.

Key objectives:

• Compile and review current literature in the life insurance arenas to ensure access to up-to-date information.
• Consider the pros and cons of different methods for setting discount rates.
• Provoke thought leadership and innovation within the industry through presentations and forums to gain wider input.

Key outputs:

• Presentations at conferences
• A range of articles (see below)

Articles in The Actuary, other publications, and in other forums.

Articles published to date include:

• On Balance: Asset Liability Management for an IFRS 17 Balance Sheet by Richard Schneider, Jon Neale, and Apostolos Papachristos
• IFRS 17 KPIs – Potential Interactions with the Discount Rate, by Jon Neale
• ALM for IFRS 17 Balance Sheet, by Jon Neale, Richard Schneider, and Apostolos Papachristos
• IFRS 17 – Default Model – Historic Calibration by James Sharpe
• The IFRS 17 Income Statement and how this is affected by the Discount Rate Methodology, by Jon Neale
• Other Financial Risk under IFRS 17, by Richard Schneider and Jonny Skerratt
• Summary of the Draft Educational Note on Discount Rates Issued by the Canadian Institute of Actuaries, by Jon Neale
• Index-linked liabilities under IFRS 17 – considerations, by Darren Clay and Richard Schneider
• Imperfect numbers under IFRS 17 by Kunj Behari Maheshwari & Brian Ring
• Setting ‘bottom-up’ discount rates under IFRS 17 for General Insurers, by Charlotte Edwards and Apostolos Papachristos
• A summary of the issues the working party is considering
• A balancing act: Companies should not assume their existing discount rate approaches will comply with IFRS 17, warns Daryl Boxall
• IFRS 17 Discount Rate Considerations, by Darren Clay & James Latto
• Locked-in stochastic discount rates under IFRS 17, by Richard Schneider
• Case study on the top-down approach, by Apostolos Papachristos
• IFRS 17: liquidity characteristics of insurance liabilities, by Thomas Bulpitt
• Discount rate disclosures, by Jon Neale