Question ID: 3485
Regulation Reference: Risk-Free Interest Rate - Deep, Liquid and Transparent maturities
Article: N/A
Státusz: Final
Date of submission: 16 Dec 2025
Question
The RFR Technical Documentation published in June 2025 and due to take affect on 1st January 2026 indicated that the 11Y swap rate for AUD is considered liquid and should be used in the derivation of the interest rate term structure. However, we are unable to find or extract data for this instrument from LSEG Datascope Select using the RIC format provided in the paper. We have submitted a ticket to LSEG helpdesk and they confirmed this ticker (AUDSM6AB11Y=) is not available. They provided an alternative but we are unable to extract any historical or live data for it. Please can you advise the data source you are using for this instrument and the relevant ticker?
EIOPA answer
Regarding the construction of the AUD risk-free rate curves, in particular the use and availability of the RIC “AUDSM6AB11Y=”, please note that the stated tenor is classified as DLT according to Table 5 of EIOPA’s latest RFR Technical Documentation (RFR TD). The assessment of DLT status for swaps is based on trade data and is therefore independent of the availability of these instruments from market data providers such as LSEG. In this context, paragraph 9.1.5 of the RFR TD applies:
“The derivation of the term structures is based on the rates for the DLT maturities set out in section 5. Where for a certain day one or several of those rates are not available, the term structure is derived based on the remaining rates, provided that not more than 20% of the rates are missing and the rate at the last liquid point is available. Otherwise, the market information of the preceding trading day is used to derive the term structure.”
In similar cases in the past, we have observed that market data providers may begin publishing the relevant RICs with some delay.