Question ID: 3132
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Solvency Capital Requirement (SCR)
Article: 165(2)
Status: Rejected
Date of submission: 31 Jul 2024
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: 6
- Capital requirement for interest rate risk in the down scenario: 5
- Overall capital requirement if the up scenario is retained: 8
- Overall capital requirement if the down scenario is retained: 9
Which scenario (up or down) should be selected for determining the capital requirement for interest rate risk?
EIOPA 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).