EIOPA updates representative portfolios to calculate volatility adjustments to the Solvency II RFR term structures for 2024 and the Technical Documentation

EIOPA published the updated Technical Documentation of the methodology to derive EIOPA’s risk-free interest rate term structures and updated representative portfolios that will be used for calculation of the volatility adjustments to the relevant risk-free interest rate term structures for Solvency II.
These updated representative portfolios are included in an updated version of the RFR Technical Documentation, which also contains some errata to the former version of the Technical Documentation.
CHANGES WHICH WILL BECOME EFFECTIVE AS OF 1 JANUARY 2024
Changes (errata):
– Table 2 – Swap and government bond RICs used for the derivation of the technical information:
o The Refinitiv ticker for the INR OIS instrument reads “INNDOIS=”, while the tickers for the corresponding individual tenors read “INxYNDOIS=”, with x = 1,..,5.
– Paragraph 5.3.6: removal of the identifier field “Close” for retrieval of OIS rates from Refinitiv’s DataScope Select. For both SWP and OIS rates the identifier field “Mid Price” is used.
– Section 7.3 – Calculation of the credit risk adjustment – Third situation:
o Paragraph 7.3.9: the text “an end of month scaling factor” is replaced by “a scaling factor” as the CRA is calculated on a working-day basis and not only at the end-of-month.
o Paragraph 7.3.10: “interpolated” is changed to “linearly interpolated” and removal of “for the respective end-of-month” as the CRA is calculated on a working-day basis.
o EIOPA will publish an Excel file demonstrating the calculations for the new CRA situation 3 method.
CHANGES WHICH WILL BECOME EFFECTIVE AS OF 31 MARCH 2024
– Paragraph 11.4.1 and Table 11 – Weights referred to in Article 50 of the Delegated Regulation:
o The government bond and corporate bond weights for both the currency- and countryportfolios have been updated due to the update of the representative portfolios for 2024.