EIOPA · 3081
Risk Free Rate (RFR)
- Regulation
- Risk-Free Interest Rate - Credit and currency adjustments
- Article
- Art 38, BoS decision 21/381
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2024-05-01
- Answered
- 2024-05-22
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
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.
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.
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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