Question ID: 3512
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
Status: Final
Date of submission: 11 Feb 2026
Question
Article 165 of Delegated Regulation (EU) 2015/35 was amended and now states:
1. The capital requirement for interest rate risk referred to in Article 105(5), second subparagraph, point (a), of Directive 2009/138/EC shall be equal to the larger of the following:
(a) the sum of the capital requirements for each currency for the risk of an increase in the term structure of interest rates as set out in Article 166 of this Regulation;
(b) the sum of the capital requirements for each currency for the risk of a decrease in the term structure of interest rates as set out in Article 167 of this Regulation.
The wording changed from "over all currencies" to "for each currency". Does this change imply a change in the aggregation of the SCR interest rate risk sub-module?
For example, consider a portfolio with two currency exposures (USD and GBP), where the profit and loss for the USD exposure for the increase in basic risk-free interest rates is -1,592,522 and for the decrease in basic risk-free interest rates is 1,567,466; the profit and loss for the GBP exposure for the increase in basic risk-free interest rates is 1,098,667 and for the decrease in basic risk-free interest rates is -1,235,193. So, in the current method, the SCR for interest rate risk is 493,855, and the new regulation will change the SCR for interest rate risk to 1,592,522.
EIOPA answer
The amendment of the wording of Article 165(1)(a) and (b) of Delegated Regulation (EU) 2015/35 from "over all currencies" to "for each currency" should not be interpreted as a change to the aggregation of capital requirements for different currencies. Insurance and reinsurance undertakings should calculate separate capital requirements for each currency. Where the calculation of any of those capital requirements has a negative result, it should be put to zero in accordance with Article 83(5) of Delegated Regulation (EU) 2015/35. Consequently, in the example provided in the question, the SCR for interest rate risk is 1,592,522.
However, the second subparagraph of Article 165(1) of Delegated Regulation (EU) 2015/35, which was introduced with the amendments, provides a derogation from that approach for pegged currencies. If the example of the question would be on EUR and DKK instead of USD and GBP, then insurance and reinsurance undertakings with DKK as domestic currency may calculate for that example portfolio one single capital requirement for EUR and DKK and get an SCR for interest rate risk of 493,855.