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European Insurance and Occupational Pensions Authority

2273

Q&A

Question ID: 2273

Regulation Reference: Risk-Free Interest Rate - Deep, Liquid and Transparent maturities

Topic: Risk Free Rate (RFR)

Article: EIOPA-BoS-20/771 : Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures (16 December 2020)(4.C. Conceptual framework for non-EEA currencies)(Table 5 - Non-EEA currencies: tenors of interest rate swaps used for the derivation of the basic risk-free interest rate term structures)

Status: Rejected

Date of submission: 25 Mar 2021

Question

In the "EIOPA-BoS-20/771 : Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures" (16 December 2020) , section 4.C, Table 5 (ie pag. 31/135 of the aforementioned document) it is stated that the currently used interest rate swaps tenors used in the derivation of the risk-free rate term structures for GBP are 1-10Y,15Y,20Y,30Y and 50Y while in Annex 14.E (History of relevant financial instruments, pag 100-102/135 ) the GBP curve seems still based on 1-10Y,12Y,15Y,20Y,25Y,30Y,40Y,50Y swap from the date of publication of this technical document (16 December 2020) to the 31st of March 2021 . Am I correct to assume that the details in table 5, for GBP, will be the new tenors used from the 1st of April 2021 onwards while the Swap tenors highlighted in the Annex 14E will still be used till (and including) the 31st of March 2021? Thanks for your support

Background of the question

We would like further clarification on the GBP Swap tenors to use to independently replicate the EIOPA Solvency II curves at EndMar2021. We want therefore to confirm that we need to use the information present in the Annex 14.E for EndMarch2021 and to use the tenors shown in Table5 from EndApril2021 onwards

EIOPA answer

Non relevant question, that has been already answered via "Info EIOPA"