CIB 6.12.3

For the purposes of determining the net present value of expected future receipts in accordance with Rule 6.10.8, 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.