The answer to this question is provided by the European Commission.

Delegated Regulation (EU) 2015/35 sets out detailed rules on the calculation of the SCR with the standard formula. However, the fundamental principles of the SCR calculation are set out in Directive 2009/138/EC, Title I, Chapter VI, Section 4.

In particular, Article 105(5) of that Directive states that the “market risk module shall reflect the risk arising from the level or volatility of market prices of financial instruments which have an impact upon the value of the assets and liabilities of the undertaking. It shall properly reflect the structural mismatch between assets and liabilities, in particular with respect to the duration thereof.”

In other words, the calculation of the market risk module requires to assess how changes in the level or volatility of market prices of financial instruments would affect the assets and the liabilities of the relevant insurance or reinsurance undertaking. As changes in the level or volatility of market prices of financial instruments may affect assets and liabilities in a different manner, assets and liabilities should not be netted against each other for the calculation of the market risk module. This principle is also embedded in the definition of the sub-modules of the market risk module in the same paragraph of the Directive. More specifically, the sub-modules are defined as the capital requirements for the “sensitivity of the values of assets [and] liabilities” to the related risks.

Disclaimer provided by the European Commission:

The answers clarify provisions already contained in the applicable legislation. They do not extend in any way the rights and obligations deriving from such legislation nor do they introduce any additional requirements for the concerned operators and competent authorities. The answers are merely intended to assist natural or legal persons, including competent authorities and Union institutions and bodies, in clarifying the application or implementation of the relevant legal provisions. Only the Court of Justice of the European Union is competent to authoritatively interpret Union law. The views expressed in the internal Commission Decision cannot prejudge the position that the European Commission might take before the Union and national courts.