| Currency | Reference Instrument | Maturity | |||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 15 | 20 | 25 | 30 | 40 | 50 | ||
| AUD | Bank Bill Swap Rates (BBSW) |
D | D | D | D | D | - | D | D | D | D | D | D | D | D | L | |||
| CAD | Canadian Dollar Offered Rate (CDOR) |
- | D | D | D | D* | D | L | |||||||||||
| DKK | Euro Ibor (Euribor) | D | D | D | D | D | D | D | D | D | D | D | D | D | L | ||||
| EUR | Euro Ibor (Euribor) | D | D | D | D | D | D | D | D | D | D | D | D | D | L | ||||
| GBP | SONIA OIS | D | D | D | D | D | D | D | D | D | D | D | D | D | D | D | D | L | |
| NOK | Norwegian Ibor (Nibor) | D | D | L | |||||||||||||||
| SEK | Stockholm Ibor (Stibor) | D | D* | D | L | ||||||||||||||
| USD | United States Dollar SOFR | D | D | D | D | D | D | D | D | D | D | D | D | D | D | L | |||
D = DLT point
L = Last Liquid Point
- = No longer DLT since most recent assessment
D* = New DLT point since most recent assessment
The above table shows the outcomes of the annual DLT assessments for PRA relevant currencies, which will be effective from 1 January 2023.
Our DLT conclusions include the following considerations:
GBP
The DLT conclusions for GBP are based on analysis of SONIA OIS and are unchanged from the PRA’s previous DLT assessment. The 40-year point fell just short of one of the volume indicators (the average daily number of trades) for assessing the liquidity of the swap market set out in the PRA’s SoP. However, the PRA concluded that this point should remain DLT based on supplementary analysis of bid-ask spread data as well as consulting with relevant market experts within the Bank of England.
EUR
The PRA considered Recital 21 of the onshored Solvency II Delegated Regulation and EIOPA’s DLT conclusion when determining the 20-year Last Liquid Point (LLP) for EUR.
USD
The DLT assessment for USD was based on the Secured Overnight Financing Rate (SOFR). This is because from Sunday 1 January 2023, the RFRs for USD will be based on SOFR swap rates (with zero CRA). This reflects the PRA’s Libor transition plans outlined in PS12/21. We have concluded that the LLP for USD remains at 30 years.
AUD
The EMIR Trade Repositories data set only includes a relatively small amount of AUD Libor trades. Therefore, the trades were scaled using a scaling factor, derived from the triennial OTC derivative statistics of the Bank for International Settlements.
JPY
From Sunday 1 January 2023 onwards, the PRA will cease to provide technical information for Japanese Yen (JPY). This is due to JPY no longer meeting the criteria outlined in paragraphs 3.3 to 3.5B of the Statement of Policy ‘The PRA’s approach to the publication of Solvency II technical information’. The PRA will continue to provide technical information for the remaining eight currencies.