Question ID: 1538
Regulation Reference: Risk-Free Interest Rate - General questions
Article: 43
Status: Final
Date of submission: 24 Apr 2018
Question
I believe the risk-free rate (RFR_spot_no_VA) for United Kingdom for 20180228 was constructed by excludeing 45Y swap rate as input. But, Bloomberg has it's rate for 20180228. Can you please explain why you have excluded 45Y swap rate?
EIOPA answer
After consultation and confirmation by the data provider Bloomberg the GBP 45-year swap rate has been removed from the input market data for the period from 10 to 28 February 2018 as due to insufficient liquidity no consistent pricing was possible for this rate.
See also EIOPA’s announcement on this amendment: https://eiopa.europa.eu/Pages/News/EIOPA-publishes-monthly-technical-information-for-Solvency-II-relevant-Risk-Free-Interest-Rate-Term-Structures-%E2%80%93-Feb_18.aspx.