EIOPA · 2221
Other
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- Articles 175 and 189(2)(f)
- Topic
- Other
- Submitted
- 2020-11-18
- Answered
- 2021-10-12
Question
Does a standard interest rate swap (e. g. ESTR vs. EUSA50) has to be stressed in the Spread-Risk-Module in Solvency? If so, how is the Spread-Risk to be calculated?
Answer
According to Article 175 of Commission Delegated Regulation (EU) 2015/35 the Spread Risk Sub-Module calculates the capital requirements for spread risk on Bonds and Loans, Securitisations and Credit Derivatives. Therefore an interest rate derivative should not be included in the Spread Risk Sub-Module.
According to Article 189(2)(f) “derivatives other than credit derivatives covered in the spread risk sub-module" are in the scope of the type 1 counterparty default risk sub-module. Therefore an interest rate swap is in the scope of the type 1 counterparty default risk sub-module.
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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