Q&A

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.

EIOPA 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 dedicated risk-free rates webpage in the section 'Background Material '.