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European Insurance and Occupational Pensions Authority

1555

Q&A

Question ID: 1555

Regulation Reference: Risk-Free Interest Rate - Financial market data

Status: Final

Date of submission: 24 Apr 2018

Question

Which Bloomberg data will be used to derive the EIOPA yield curves for end of March 2018: Friday, March 30 (Good Friday) or Thursday, March 29?

EIOPA answer

The derivation of the term structures for end of March 2018 is based on data from 30 March. In general the last working day (Monday, …, Friday) of a month is used to derive the term structures, irrespective of any national holidays.