Deep, liquid, and transparent (DLT) assessment for January 2024 implementation

The Prudential Regulation Authority of the Bank of England, PRA, has published the latest „Deep, liquid, and transparent (DLT)“ assessment for Solvency II relevant currencies for determining the matching and volatility adjustment for purposes of determining Solvency II capital requirements (SCR). The following table reflects the latest assessment and is applicable from January 1, 2024.
Table 1: DLT Assessment for Solvency II relevant Currencies

Furthermore, the PRA provides the following accompanying (technical) information:
The DLT assessment followed the PRA’s policy on Solvency II technical information and focused on historical interest rate swap data up to July 2023. If significant market changes occur, the PRA may revise the assessment before the next publication.
For GBP, the DLT conclusions remain consistent with previous assessments, relying on SONIA OIS data. While the 40-year point fell slightly short of volume indicators, it was retained after analyzing bid-ask spread data and consulting market experts.
For EUR, the PRA considered external regulations and EIOPA’s DLT conclusions to determine the 20-year „Last Liquid Point“.
For CAD, starting in 2024, the Canadian Overnight Repo Rate Average (CORRA) will replace the Canadian Dollar Offered Rate (CDOR) as the reference instrument for risk-free rates. The assessment was based on six months of data due to the transition away from CDOR.
For AUD, the limited AUD LIBOR data in the EMIR dataset was scaled using a factor derived from the Bank for International Settlement’s OTC derivative statistics.