EIOPA · 1881
Risk Free Rate (RFR)
- Regulation
- (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
- Article
- NA
- Topic
- Risk Free Rate (RFR)
- Submitted
- 2021-01-18
- Answered
- 2021-01-18
Question
Please can you confirm that the new VA portfolio referenced in the news article below is to be used in the construction of the risk free rates from 31st March 2019?
https://eiopa.europa.eu/Pages/News/EIOPA-updates-representative-portfolios-to-calculate-volatility.aspx
We note that there is no mention of this update on the main webpage for risk free rates.
Answer
Yes, we confirm that the updated representative portfolios for the calculation of the volatility adjustment is to be used in the construction of the risk-free rates from 31st March 2019 onwards.
There is a mention of this update on the dedicatedrisk-free rates webpagein the section 'Background Material '.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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