The Treasury

Global Navigation

Personal tools

Treasury
Publication

Methodology for Risk-free Discount Rates and CPI Assumptions for Accounting Valuation Purposes

Publication Details

  • Methodology for Risk-free Discount Rates and CPI Assumptions for Accounting Valuation Purposes
  • Published: 7 Jul 2010
  • Status: Current
  • Author: The Treasury
  • Hard copy: Available in Adobe PDF format only. HTML version available on request from info@treasury.govt.nz.
  • Persistent URL for bibliographic use:
    http://purl.oclc.org/nzt/g-mrdrca
 

Methodology for Risk-free Discount Rates and CPI Assumptions for Accounting Valuation Purposes (Original)

Page updated 6 Jul 2012
Published 7 Jul 2010

The purpose of this paper is to document the original methodology for determining risk-free discount rates and corresponding Consumer Price Index (CPI) assumptions for use in certain accounting valuations that are reported to the Crown for consolidation purposes.

This methodology should be read in conjunction with the May 2012 review of long-term assumptions. In the May 2012 review the bridging methodology has been refined.

The methodology is not intended to apply to the valuation of traded securities.

The Treasury publishes a table of the current discount rates and CPI assumptions at Risk-free Discount Rates and CPI Assumptions for Accounting Valuation Purposes.

See also: Treasury Circular 2010/08: 30 June 2010 Year End Discount Rates and Contingent Liabilities and Assets (7 July 2010).

Contents

Browse section/chapter Download/Page range

1 Why do we need a discount rate methodology?

2 Summary of Proposed Methodology

3 Short-Term Risk-Free Rates

4 Short-Term Inflation

5 Long-Term Real Risk-Free Discount Rates

6 Long-Term Nominal Risk-Free Discount Rates

7 Long-Term Inflation

8 Bridging the short and long-term rates

9 Review of Accounting and Actuarial Standards and Other Literature

Appendix 1 Reliance and Limitations

Appendix 2 Forward Rate Yield Curve Fitting Methodology

Appendix 3 Sample Table of Rates

disc-rates-meth-jul10.pdf (298 KB) pp. 73
Page top