As part of the implementation of the IBOR transition, EIOPA will publish parallel curves, which are based on IBOR swaps/Government bonds for the British pound, Swiss franc and Japanese yen.
On 5 November, EIOPA published the first parallel RFR term structures with reference end-October 2021, which can be found here.
Based on the updated technical documentation, the switch to the new term structures for the GBP, CHF and JPY will be effective from 1 January 2022 and applied for the first time in the production of the technical information for the reference date 31 January 2022.
Stakeholders can submit any comment on these parallel calculations to EIOPA (marketdata@eiopa.europa.eu) at the latest by COB on Friday, 14 January 2022.
For more information, please see here.
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