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De Ultimate Forward Rate (UFR) werd op 30 juni 2012 voor verzekeraars in Nederland ingevoerd.[1] Het is een berekende rekenrente na het laatste liquide punt in de swaptermijnmarkt. Het is aldus een risicovrije rekenrente voor langjarige contracten, waarin wegens de lange looptijd onvoldoende handel in bestaat. Een Nederlandstalige benaming zou kunnen worden: "De langstetermijnrente". De Europese Commissie is met het Europees Parlement en de Europese Raad in overleg om voor looptijden na 20 jaar deze langstertermijnrente verplicht Europees vast te stellen richting een convergentiepunt van 4,2%. De termijn van 20 jaar is niet onomstreden. Er zijn deskundigen die voor 30 jaar pleiten. De UFR zal Europees onderdeel uitmaken van Solvency II.

De onderbouwing van de 4,2% is een historisch gemeten lange termijn inflatie van 2% en een reële rente van 2,2%. Deze Europese verplichtende langstertermijnrente heeft grote invloed op de dekkingsgraad van pensioenfondsen en verzekeraars. Zie voor de Nederlandse situatie de brief van minister Kamp van 30 mei 2012[2] en zijn beantwoording van vragen op 4 juli 2012.[3]

Situatie in Nederland[bewerken]

Voor verzekeraars voerde dus De Nederlandsche Bank (DNB) op 30 juni reeds in het kader van de Solvency II-richtlijn het convergentiepunt voor deze ultimate forward rate van 4,2% in.[4][5][6] Dit betekent echter niet dat de swaprente van de 60-jarige verplichting op 4,2% uitkomt. De 60-jarige rente steeg voor de verzekeraars van 2,5% naar 3,3% door deze ingreep. Het niveau van 4,2% fungeert als onbereikbare asymptoot. Indien de twintigjaarsrente boven de 4,2% ligt wordt de asymptoot van de bovenzijde benaderd. Met de extreem lage huidige rentes klimt de UFR vanaf de onderkant naar de asymptoot, echter zonder zelfs maar in de buurt van de 4,2% te komen. De DNB heeft vooralsnog als convergentieniveau van de UFR de Europese 4,2% gekozen. Als laatst beschikbare betrouwbare swaprente-eindpunt is de 20 jaarsrente opgepikt en derhalve een convergentielooptijd richting het stabiele eindpunt gedurende 40 jaar. Het Actuarieel Genootschap schreef op 23 augustus een brief aan dr.P.H.Omtzicht, de Europese pensioenrapporteur, een brief inzake de toepassing bij pensioenfondsen.[7] [8]

UFR-ingreep Pensioenfondsen door DNB 2012-2014[bewerken]

Een identieke tegemoetkoming aan de Nederlandse pensioenfondsen bleef op 30 juni 2012 achterwege. Minister Kamp leek niet zonder meer bereid een gelijk speelveld te behouden voor verzekeraars en pensioenfondsen. Het ABP stelt in een persbericht op 22 augustus 2012 met de minister en samen met andere pensioenfondsen in onderhandeling te zijn.[9] Op 24 september kwam het kabinet met een pakket maatregelen, waarin voor de pensioenfondsen de ultimate forward rate op eenzelfde manier werd verwerkt als eerder bij de verzekeraars.[10] Per 30 september werd de methodiek toegepast.[11] De zestigjaarsrente werd die dag voor verzekeraars en pensioenfondsen daadwerkelijk verhoogd van 2,4% naar 3,3%.[12][13] Het renteniveau blijft dus in de gewijzigde berekeningsmethode nog erg ver van de ONBEREIKBARE asymptoot van 4,2%, van welk percentage de media ten onrechte steeds spreken.[14][15] MSCI is in haar rapport gematigd positief over de DNB-ingreep.[16] Op 3 oktober 2013 bracht DNB de technische invulling als verplichting voor de pensioenfondsen naar buiten.[17][18][12] Aan het eind van elke maand stelt DNB de nieuwe percentages vast.[19]

Commissie UFR[bewerken]

Op 21 december stelde de Nederlandse regering een "Commissie UFR" in onder leiding van Theo Langejan, die voor 1 juli 2013 rapport had moeten uitbrengen inzake:
1.de hoogte van de UFR,
2.het punt op de curve waar de UFR-methode start, en
3.de extrapolatiemethode.[20][21][22]

Staatssecretaris Jetta Klijnsma verwachtte het advies in augustus te ontvangen. Het advies [23] werd 1 oktober openbaar gemaakt.[24] Kabinet en DNB gaven gelijkertijd een reactie.[25] DNB besloot tot 1 januari 2015 niets te veranderen in haar UFR-methodiek. Per die datum wil het kabinet de nieuwe rekenwijze van de Commissie UFR overnemen, welke commissie een eigen Nederlandse oplossing voorstaat los van de Europese EIOPA-voorschriften.[26][27] De Commissie UFR verlaagt de asymptoot(hoogte) van 4,2% naar 3,9%.[28] Maar omdat de asymptoothoogte afhankelijk wordt gesteld van marktontwikkelingen, is zelfs die 3,9%-asymptoot geen vastigheid meer.[29] Het startpunt van de UFR blijft 20 jaar. Het Laatste Liquide Punt (LLP) wordt op 50 jaar gezet.

Bij de behandeling van het nieuwe FTK maakte de leden van de Tweede Kamer zich zorgen dat in 2016 de UFR-systematiek voor verzekeraars via Europese regels gunstiger zou worden dan in 2015 voor de nationale pensioenfondsen.[30][31] Het Kamerlid Henk Krol diende een verworpen motie in om het bevoordelen van van verzekeraars boven de pensioenfondsen zoveel mogelijk te beperken.[32] In de Eerste Kamer deed staatssecretaris Jette Klijnsma op 17 december 2014 verdere toezeggingen op dit punt.[33]

結果 (英語) 2:

Ultimate forward rate Jump to: navigation, search The Ultimate Forward Rate (UFR) was introduced for insurers in the Netherlands on June 30, 2012 [1] It is a calculated interest rate after the last liquid point in the swap futures.. It is thus a risk-free interest rate for long-term contracts, where because of the long duration exists insufficient trade. A Dutch name could be "the longest term interest rates." The European Commission, the European Parliament and the European Council in consultation to determine the mandatory European long-term interest rates for maturities star after 20 years, towards a convergence point of 4.2%. The period of 20 years is not undisputed. There are experts who argue for 30 years. The UFR will form part of the European Solvency II. The substantiation of 4.2% is a historically measured long-term inflation rate of 2% and a real rate of 2.2%. This European mandatory long star-term rates has a major impact on the funding of pension funds and insurers. For the Dutch situation the letter from Minister Kamp of May 30, 2012 [2] and answering questions on 4 July 2012. [3] See Situation in the Netherlands [edit] Insurers thus argued De Nederlandsche Bank (DNB) on June 30 already in the context of the Solvency II Directive focus to this ultimate forward rate of 4.2%. [4] [5] [6] This does not mean that the swap rate of the 60-year commitment at 4.2% true. The 60-year yields rose to insurers from 2.5% to 3.3% by this procedure. The level of 4.2% acts as unreachable asymptote. If the twenty-year rate above 4.2% is the asymptote of the upper side is approached. With the extremely low current interest rates UFR climb from the bottom to the asymptote, but without coming even close to the 4.2%. The DNB has yet chosen convergence level of the UFR European 4.2%. As last available reliable swap rate endpoint is the 20-year rate picked up and therefore a convergence maturity towards the stable endpoint for 40 years. The Actuarial Society wrote on August 23, a letter to dr.PHOmtzicht, European pension rapporteur, a letter on the application by pension funds. [7] [8] UFR surgery Pension Funds DNB 2012-2014 [edit] A similar concession to the Dutch pension funds remained at June 30, 2012 omitted. Minister Kamp seemed no longer willing to maintain a level playing field for insurers and pension funds. ABP states in a press release on August 22, 2012 with the Minister and with other pension funds are under negotiation. [9] On 24 September the government with a package of measures, which for the pension funds the ultimate forward rate was processed in the same way as previously at the insurers. [10] On 30 September, the methodology was applied. [11] The sixty-year rate was that day for insurers and pension funds actually increased from 2.4% to 3.3%. [12] [13] The interest rate remains in the revised calculation method still very far from the unreachable asymptote of 4.2%, the percentage of the media still speak wrongly. [14] [15] In its report, MSCI is moderately positive about the DNB surgery. [16 ] On October 3, 2013, DNB brought the technical realization as a liability for the pension funds out. [17] [18] [12] At the end of each month, DNB shall adopt the new rates. [19] Commission UFR [edit] On 21 December, the Dutch government set up a "Commission UFR" under the direction of Theo Langejan which should have cast for July 1, 2013 report on: 1.de height of the UFR, 2.the point on the curve where the start UFR method, and 3.de extrapolation method. [20] [21] [22] Secretary Jetta Klijnsma expecting to receive advice in August. The opinion [23] was October 1 made ​​public. [24] The government and DNB same time gave a reaction. [25] DNB decided to January 1, 2015 to change anything in her UFR methodology. On that date, the government wants to take over the new calculation method of the Commission UFR, which committee own Dutch solution is separate from the European EIOPA regulations. [26] [27] The Commission UFR decreases the asymptote (height) of 4.2% to 3.9%. [28] But because the asymptoothoogte is subject to market developments, even that 3.9% -asymptoot no more constancy. [29] The starting point of the UFR remains 20 years. The Last Cash Point (LLP) is put at 50 years. In the treatment of the new FTK made ​​the members of the House are concerned that in 2016 the UFR system for insurers through European rules would be more favorable than in 2015 for the national pension funds. [30] [31] MP Henk Krol had rejected a motion to limit the benefit of insurers over the pension funds as much as possible. [32] In the Senate did Secretary Jette Klijnsma on December 17, 2014 further commitments in this point. [33]

結果 (英語) 3:

Ultimate forward rate





Go to: navigation, search THE CLIENT ON HIS The Ultimate Forward Rate (UFR) was on June 30, 2012 for insurers in The Netherlands imported. [ 1] is a calculated redefined after the last liquid point in the swaptermijnmarkt. It is thus a risk-free redefined for multiannual contracts, which because of the long duration insufficient trade in exists.A Dutch title could be: "The langstetermijnrente". The European Commission is with the European Parliament and the European Council in consultations in order to maturity after 20 years this langstertermijnrente obliged European to determine direction of a-time focal point within 4.2 %. The time limit of 20 years is not uncontroversial. There are experts who argue for 30 years.The UFR will European part of Solvency II.

The justification of the 4.2% is a historic measured long-term inflation rate of 2% and a real interest rate of 2.2 %. This European mandatory langstertermijnrente has a major impact on the coverage of pension funds and insurance companies.See for the Dutch situation, the letter from the minister Camp of 30 May 2012 (2) and its response to questions on July 4, 2012. [ 3]

Situation in The Netherlands[edit

For insurers argued so the Nederlandsche Bank (DNB) on 30 June in the context of the Solvency II directive for this ultimate-time focal point within the forward rate of 4.2% in.[ 4] [ 5] [ 6] This does not mean, however, that the swap rate of the 60-year-old obligation on 4.2% convenience. The 60-year-old increased interest for the insurers of 2.5% to 3.3% by this operation. The level of 4.2% acts as unattainable asymptoot. If the twintigjaarsrente above the 4.2% is the asymptoot approached from the top.With the extremely low current interest rates climbs the UFR from the bottom to the asymptoot, however, without even in the vicinity of the 4.2% figure. The DNB has as convergence of the UFR the European 4.2% selected. As last available reliable swap rates-end point is the 20 jaarsrente picked up and therefore a convergentielooptijd toward the stable end point for 40 years.The Actuarial Association wrote a letter on 23 August to Dr P. H. Omtzicht, the European pensioenrapporteur, a letter on the application of pension funds. [ 7] [ 8]

UFR-intervention funds by DNB 2012-2014 [Edit]

a identical allowance to the Dutch pension funds remained on June 30, 2012 failure.Minister Camp seemed not to maintain a level playing field for insurers and pension funds. The ABP, in a press release on August 22, 2012 with the minister and together with other pension funds in negotiation. [ 9] on 24 september was the cabinet with a package of measures,For pension funds, the ultimate forward rate was processed in the same way as previously to the insurers. (10) On 30 september was the methodology applied. [ 11] The zestigjaarsrente was that day for insurers and pension funds actually increased from 2.4% to 3.3 %.[ 12] [ 13] The level of interest rates remains so in the revised calculation method is still very far from the UNATTAINABLE asymptoot of 4.2 %, of the percentage to which the media wrongly still talk. [ 14] [ 15] MSCI is moderate positive in its report on the DNB-intervention. [ 16] On October 3, 2013 revealed DNB technical details as an obligation for the pension funds to the outside.[ 17] [ 18] [ 12] at the end of each month, the new percentages DNB. [ 19]

Commission UFR[edit]

on 21 december, the Dutch government a "Commission UFR" in under the leadership of Theo Langejan, for July 1, 2013 report should have reported on:
1.the height of the UFR,
2.the point on the curve where the UFR method start, and
3.the extrapolation involves. [ 20] [ 21] [ 22]

Secretary Jetta Klijnsma which will be expected to receive the opinion in august. The opinion [ 23] was 1 october made public. [ 24] Cabinet and DNB simultaneously gave a response. [ 25] DNB decided to January 1, 2015 nothing to change in its UFR-methodology. By that date, the office of the Commission the new rekenwijze UFR,A private Dutch solution advocated by the commission of the European EIOPA-rules. [ 26] [ 27] The Commission UFR reduces the asymptoot(height) of 4.2% to 3.9 % . [ 28] But because the asymptoothoogte is subject to market developments, even those 3.9 % -asymptoot ' s no more. [ 29] The starting point of the UFR remains 20 years.The Last Liquid Point (LLP) is set at 50 years.

In the treatment of the new FTK made the members of the Second Chamber is concerned that the 2016 UFR-scheme for insurers via European rules would be more favorable than in 2015 for the national pension funds.[ 30] [ 31] The Prescriptive Authority Henk Krol's had rejected a motion in favor of the insurers to reduce as far as possible above the pension funds. [ 32] In the first room was secretary Jette Jetta Klijnsma on december 17, 2014 further commitments on this point. [ 33]