The Committee on Life Insurance Financial Reporting (CLIFR) has prepared this educational note to provide guidance related to setting the discount rates for the purpose of calculating the present value of estimates of future cash flows under IFRS 17.
This educational note is structured in two chapters. The first chapter is intended to illustrate various considerations in developing an entity’s IFRS 17 discount curve, without narrowing the choices available to the entity under the IFRS 17 Standard. The chapter focuses on aspects of setting the discount rates that are specific to the Canadian market. The second chapter presents reference curves for insurance contracts that are deemed to be liquid and illiquid. It outlines how these curves are constructed in the observable period and beyond the observable period. It also outlines considerations with respect to the parameters used beyond the observable period. In addition, guidance is provided for suggested disclosures in the Appointed Actuary’s Report (AAR) filed with the insurance regulator, to support practitioners and reviewers in assessing the reasonableness of the discount curves used versus the reference curves defined in this educational note. Additional details related to the content of the different chapters can be found in the introduction. The CIA has retained the services of Fiera Capital (Fiera) to publish the reference curves and market curves used to build the reference curves on a monthly basis. The resulting reference curves can be found on Fiera’s website at https://www.fieracapital.com/en/institutional-markets/cia-ifrs-17-curves.”