EIOPA Clarifies Data Timing Behind 3.4bp Deviation in Colombian Peso RFR Curve Replication

Key Takeaways

• EIOPA's Q&A 3507 explains that differences between firms' replicated Colombian peso (COP) risk-free rate curves and the published curve can arise from the timing of market data capture.
• Less liquid instruments may be updated by data providers after EIOPA's snapshot, and EIOPA identified a 3.4bp deviation at the 1Y maturity in this case.
• Compliance and actuarial teams that replicate RFR curves for Solvency II purposes should understand this limitation when reconciling their results.

Deep Dive

EIOPA's Q&A 3507 explains that differences between firms' replicated Colombian peso (COP) risk-free rate curves and the published curve can arise from the timing of market data capture. Less liquid instruments may be updated by data providers after EIOPA's snapshot, and EIOPA identified a 3.4bp deviation at the 1Y maturity in this case. Compliance and actuarial teams that replicate RFR curves for Solvency II purposes should understand this limitation when reconciling their results.

EIOPA retrieves market data for the prior month, usually on the first EIOPA working day of the month at around 12 o'clock. Data providers may update figures for less liquid instruments later, and those updates cannot be included in the production of the technical information. In this case, EIOPA confirmed a slight deviation of 3.4bp at the 1Y maturity. The practical implication is that the published curve is a fixed snapshot, and later vendor data may differ, particularly for illiquid tenors such as the short end of the COP curve. EIOPA does not announce any correction, revision, or change to its methodology. No compliance deadlines are set, though the timing convention recurs monthly.

For compliance, risk, and actuarial teams, the main point is that reconciliation differences are not always replication errors. Firms should align their data extraction timing with EIOPA's snapshot window (first working day of the month, around 12:00) where possible. They should also document known tolerances for illiquid currencies and set escalation thresholds for deviations. Where deviations occur, firms should record the root cause, such as late vendor updates, and keep evidence to support the use of the published EIOPA curve. Firms should also confirm that internal models and validation procedures treat the published curve as the authoritative input for regulatory reporting.

The risk impact is low but not trivial. A 3.4bp difference at one tenor will have a limited effect on technical provisions for most firms, though exposure to COP-denominated long-duration liabilities, or to aggregated small differences, could raise materiality questions. The main risks are model validation findings, data governance weaknesses, and unnecessary reconciliation effort or misreported variances. Teams should review data lineage controls for market data and confirm that the published curve is used for regulatory calculations.

Source: European Insurance and Occupational Pensions Authority