Q&A

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?

EIOPA 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.