Question ID: 3581
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(1)
Status: Rejected
Date of submission: 28 May 2026
Question
We would like to confirm our interpretation of the revised Article 165(1):
1. Per-currency worst-case selection: Does the revised wording require that, for each individual currency, the capital requirement be determined as the larger of the up-shock and down-shock capital charges for that currency (i.e., max(IR_up_c, IR_down_c) for each currency c), and that the overall interest rate risk capital requirement then be the sum of these per-currency worst-case results?
2. No cross-currency offset: Is it correct that the revised formulation eliminates the possibility of offsetting interest rate risk P&L across currencies within the same directional scenario — analogous to the approach used in the Currency Risk sub-module under Article 188?
3. EUR-pegged currency derogation: For undertakings applying the derogation for EUR-pegged currencies under Article 48(1), should the euro and the pegged currency be treated as a single combined currency for purposes of determining the per-currency worst case, and then included as one aggregated item in the summation above?
Background of the question
Under the current Article 165(1) of Delegated Regulation (EU) 2015/35, the capital requirement for interest rate risk is determined as the larger of: (a) the sum, over all currencies, of the capital requirements for the risk of an increase in the term structure of interest rates as set out in Article 166; (b) the sum, over all currencies, of the capital requirements for the risk of a decrease in the term structure of interest rates as set out in Article 167. Under this formulation, undertakings calculate the up-shock and down-shock P&L across all currencies simultaneously, allowing gains in one currency to offset losses in another within the same directional scenario before selecting the larger of the two aggregated results. The amended Article 165(1), as introduced by Delegated Regulation (EU) 2026/269, replaces this paragraph with: (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; (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. Additionally, a derogation is introduced for Member States whose domestic currency is pegged to the euro, allowing undertakings to calculate one single capital requirement for the risk of a joint increase or decrease in the term structure of interest rates denominated in euro and that currency.
EIOPA answer
This question has been rejected because the matter it refers to has been answered in Q&A 3512.