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European Insurance and Occupational Pensions Authority

1912

Q&A

Question ID: 1912

Regulation Reference: Risk-Free Interest Rate - VA representative portfolios

Topic: Risk Free Rate (RFR)

Article: Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures

Status: Final

Date of submission: 14 May 2019

Question

Can you provide us information about the precentage of covered bonds inside the (financial) corporate part of the VA representative portfolio for different currencies?

EIOPA answer

No. The current level of granularity of the representative portfolios does not distinguish covered bonds as a separate sub category for the purpose of calculating the VA due to total covered bonds exposures being non-material up to now in most of the currency or country portfolios.