EIOPA · 1539
1539
- Regulation
- Risk-Free Interest Rate - General questions
- Submitted
- 2018-04-24
- Answered
- 2019-10-24
Question
This relates to my previous question about 45 year swap rate in GBP. Can you please tell me if you will remove 45 year swap rate in the future for the curve constrution? or was it temporary only fo the period between 10 to 28 February 2018?
Answer
We would continue disregarding the 45 year swap rate for GBP as long insufficient liquidity persist. In the meantime Bloomberg has stopped providing a rate for the 45 year swaps.
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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