We would appreciate clarification regarding the interpretation of the amended Article 165(1)(a) and (b) of the Delegated Regulation in relation to the aggregation of interest rate risk across currencies. 

Under the current Article 165(1), the wording is:

“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” and, respectively, for the downward scenario. 

In the amended Article 165(1), this is changed to: 

“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” and, respectively, for the downward scenario. 

Article 166(1) and Article 167(1) continue to define the capital requirement for the increase/decrease in the term structure “for a given currency” as the loss in basic own funds resulting from the respective interest-rate shock. We would therefore appreciate clarification on how the currency-specific results should be aggregated.

For example, assume that the currency-specific results are: 

Currency Up scenario Down scenario 

EUR +100 +70 

USD +50 -20 

GBP +10 +30 

Under the wording of Article 165(1), it is unclear to us whether the downward capital requirement should be calculated as: 

70 - 20 + 30 = 80

or whether the negative USD result should be floored at zero before the currency-level aggregation, resulting in: 

70 + 0 + 30 = 100. 

Could you please confirm whether a negative capital requirement for a particular currency is permitted to offset positive capital requirements for other currencies when applying Article 165(1), or whether the capital requirement for each currency should be floored at zero before the amounts are summed?

More generally, could you please clarify whether the change in wording from “the sum, over all currencies, of the capital requirements” to “the sum of the capital requirements for each currency” is intended to introduce any change in the calculation methodology, or whether it is merely intended to make explicit that the capital requirement is first calculated separately for each currency under Articles 166 and 167 and subsequently aggregated?