Question ID: 1881
Regulation Reference: (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
Topic: Risk Free Rate (RFR)
Article: NA
Status: Final
Date of submission: 18 Jan 2021
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?
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 dedicatedrisk-free rates webpagein the section 'Background Material '.