CIB 6.12.2

For the purposes of determining the net present value of expected future payments in accordance with Rule 6.10 or 6.11, a Captive Insurer must use as a discount rate the gross redemption yield of a portfolio of sovereign risk securities which:

(a) are AAA-rated by Standard & Poor's (or the equivalent by another Approved Rating Agency); and
(b) have a similar expected payment profile to the liability being measured.