Q&A

Question

Important Notes: (1) The new intermediate points and LLPs described above will come into effect on 1 January 2022.(2) Due to the IBOR transitions and subject to market developments of the new OIS swaps, the intermediate points, the Last Liquid Point (LLP) and the type of instrument for the GBP, CHF and the JPY will be subject to additional changes in 2021Q4. Subject to maket developments, similar changes may occur also for the USD." Do we get it right, that the first month end date with new data (including intermediate points, the Last Liquid Point (LLP) and the type of instrument for the GBP, CHF and the JP) due to IBOR transition will be the end of january 2022 (and not the end of december 2021)? And the "additional changes in 2021Q4" are not knowed respectively released yet?

EIOPA answer

This question is rejected as per regulatory Q&As, however please find the answer below:

We would like to highlight that a newer version of the Technical documentation was published on the 30 September 2021 which includes the changes for the GBP, CHF, JPY and the replacement of the EONIA with ESTR.

Location --> https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures_en under the section Background material 30-09-2021 - Technical Documentation.

Your understanding is correct, the updates will come into effect as of January 2022 and not December 2021.