Deep, liquid, and transparent (DLT) assessment for January 2026 implementation

Key:

D = DLT point

L = Last Liquid Point

- = No longer DLT since most recent assessment

D* = New DLT point since most recent assessment

The PRA carried out the DLT assessment in accordance with Statement of Policy 1/20 – The PRA’s approach to the publication of Solvency II technical information. This primarily involves analysis of historic aggregated interest rate swap data from the European Market Infrastructure Regulation (EMIR) Trade Repositories dataset in the 12 months up to and including 31 July 2025.

In the event of sustained structural changes to any of the relevant markets, the PRA may review this DLT assessment and issue an update before its next DLT publication.

Our DLT conclusions include the following considerations:

GBP

The 50-year maturity fell short of one of the volume indicators (the average daily number of trades) that the PRA uses to assess the liquidity of the swap market, as set out in SoP1/20. However, the PRA opted to continue recognising the 50-year maturity as the last LLP for GBP, based on supplementary analysis of bid-ask spread data, consultation with relevant market experts within the Bank of England, and to maintain year-on-year stability of the GBP risk-free rate (RFR) curve.

EUR

The PRA’s analysis of swap trade data supports a 50-year LLP for EUR. However, the PRA opted to retain the 20-year maturity as the LLP for EUR to maintain year-on-year stability of the EUR RFR curve.