On 3 November, EIOPA published the updated representative portfolios that will be used for calculation of the VA to the relevant RFR term structures for Solvency II.
These will be applicable for RFR rates from end-March 2022, which will be published at the beginning of April 2022. The updated portfolios are based on the end-of-2020 annual reporting templates as reported by European (re)insurance companies to their national supervisory authorities.
EIOPA has also published an updated technical documentation with the revised representative portfolios.
For more information, please see here.
Insurance Europe