Risk Free Rate (RFR)

Regarding the construction of the GBP risk-free rate curves, in particular the use and availability of the RIC “GBP13YOIS=”, 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. You may consider raising a ticket with LSEG regarding the availability of these instruments.