Question ID: 1539
Regulation Reference: Risk-Free Interest Rate - General questions
Status: Final
Date of submission: 24 Apr 2018
Question
This relates to my previous question about 45 year swap rate in GBP. Can you please tell me if you will remove 45 year swap rate in the future for the curve constrution? or was it temporary only fo the period between 10 to 28 February 2018?
EIOPA answer
We would continue disregarding the 45 year swap rate for GBP as long insufficient liquidity persist. In the meantime Bloomberg has stopped providing a rate for the 45 year swaps.