EIOPA · 1538
1538
- Regulation
- Risk-Free Interest Rate - General questions
- Article
- 43
- Submitted
- 2018-04-24
- Answered
- 2019-10-24
Question
I believe the risk-free rate (RFR_spot_no_VA) for United Kingdom for 20180228 was constructed by excludeing 45Y swap rate as input. But, Bloomberg has it's rate for 20180228. Can you please explain why you have excluded 45Y swap rate?
Answer
After consultation and confirmation by the data provider Bloomberg the GBP 45-year swap rate has been removed from the input market data for the period from 10 to 28 February 2018 as due to insufficient liquidity no consistent pricing was possible for this rate.
See also EIOPA’s announcement on this amendment: https://eiopa.europa.eu/Pages/News/EIOPA-publishes-monthly-technical-in….
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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