Question ID: 3081
Regulation Reference: Risk-Free Interest Rate - Credit and currency adjustments
Topic: Risk Free Rate (RFR)
Article: Art 38, BoS decision 21/381
Status: Final
Date of submission: 01 May 2024
Question
It is about the assessment of the Liquidity Condition for a (possible) transfer from IBOR to OIS swaps for Euro-area. Art. 38 would "communicate liquidity developments". Has anything been communicated since this report, and if yes, where can I find this?
Background of the question
There are some indications that the liquidity condition is met. However, our own data suggest this is not the case. So we are interested what figures are known to EIOPA.
EIOPA answer
EIOPA will only start communicating a potential transition when both conditions regarding liquidity and proximity are met according to EIOPA’s methodology on IBOR transitions.
EIOPA will continue to monitor the two conditions. Currently, only the proximity condition has been met recently, but not the liquidity so far.