Hi, the ASET solution states: "The company could invest in assets with yields that are more closely matched to swap rates". The only asset class that I can think of that would produce rates close to swap rates would be the government bonds, is that correct? Or are there any other asset classes to think/ bring up here?
Hi The GBP risk free curve published by EIOPA is calibrated to swap rates with a credit risk adjustment. The curve generated by UK government bonds is a good proxy for this, although you would still be exposed to basis/mismatch risk as the curves can differ. Another asset you could invest in is swaps underlying EIOPA's calculation...! Thanks Amit
