This question has been rejected because the issue it deals with is already answered in Q&A 1519.

We assume that the question refers to calculation of the capital requirement of a bond for what concerns the Spread risk sub-module. Article 75 assets shall be valued at the amount for which they could be exchanged between knowledgeable willing parties in an arm’s length transaction. Moreover, Article 10 of the Delegated Regulation 2015/35 specify the valuation hierarchy of methodologies to apply to value assets, which, pursuant paragraph 1, take into account the characteristics of the asset where market participants would take those characteristics into account when pricing the asset at the valuation date.

Please refer also to Q&A 1519 which, although it does not refer to spread risk, states that the accrued interest is part of the valuation in accordance with Article 75 of the Solvency II Directive and has consequently to be included in the calculation of the capital requirement. Finally, please refer also to Q&A 1581 which clarifies that the accrued interest of a financial instrument is included in the SII value of that instrument, if the current market price of that instrument does not reflect the accrued interest of that instrument.