Question ID: 3550
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: 166,167(2a)
Status: Final
Date of submission: 14 Apr 2026
Question
Following the publication of the delegated regulation 2026/269 amending delegated regulation 2015/035, I'm wondering whether EIOPA will provide to insurance companies the stressed basic risk free interest rates (up and down), in the main currencies. Could you please confirm that.
Background of the question
In the deleguated regulation 2026/269, the extrapolation method of the basic risk free interest rate has been changed, as the methodology to stress those risk. For maturities beyond the FSP, the increased / decreased basic risk- free interest rates shall be derived by applying the new extrapolation method to a stressed relevant risk-free interest rate term structure.
EIOPA answer
We confirm that EIOPA will publish the basic interest rate risk shocked term structures for all relevant currencies.