EIOPA · 3176
Risk Free Rate (RFR)
- Regulation
- Risk-Free Interest Rate - Financial market data
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2024-10-24
- Answered
- 2024-12-16
Question
The question relates to the inputs used to construct USD risk-free rate. On the latest RFR Technical documentation (24-09-2024), table 5 on page 36 has column for 16 year tenor with USD marked as input to calculations. Is this intentional, as requesting data for RIC USDSROIS16Y= returns "Invalid RIC."?
Answer
You are correct about the RIC used for the 16Y maturity of the USD curve. In general, if a RIC is not available although it is associated with a DLT point, it should be treated as a missing data point in the calculation. Hence, the interpolation algorithm works as if there is no 16Y point, but the missing point counts in the evaluation of the 80% availability criterion of the market data. Nevertheless, a RIC for the 16Y tenor point might become available anytime and therefore must be checked (and possibly used) every calculation.
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.
Similar Q&As
More Q&As on this topic
📋 Track EU financial regulation continuously
Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.
14-day free trial. No credit card required.