EIOPA · 3132
Solvency Capital Requirement (SCR)
- Regulation
- (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
- Article
- 165
- Topic
- Solvency Capital Requirement (SCR)
- Submitted
- 2024-07-31
- Answered
- 2024-10-11
Question
Clarification is needed on whether the interest rate scenario should be selected based on the capital requirement for the interest rate risk sub-module for the interest rate sub-module, or on the overall capital requirement for the entire portfolio. For example: Capital requirement for interest rate risk in the up scenario: 6Capital requirement for interest rate risk in the down scenario: 5Overall capital requirement if the up scenario is retained: 8Overall capital requirement if the down scenario is retained: 9Which scenario (up or down) should be selected for determining the capital requirement for interest rate risk?
Answer
This question has been rejected because the answer is clearly provided in Article 165(2) of the Commission Delegated Regulation (EU) 2015/35 (DR). According to this article, the capital requirement for interest rate risk should be based on the scenario that results in the largest corresponding capital requirement at that submodule level. In the given example, the interest rate up scenario should be selected (capital requirement for interest rate risk in the up scenario: 6).
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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