Solvency II Standard Formula SCR: Market Risk Module – Interest Rate Risk Sub-module

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According to the Solvency II Delegated Act Articles 165 - 167, the market interest rate risk component of the standard formula SCR is to be calculated by reference to the largest balance sheet change arising from 1 of 2 scenarios, one involving interest rate rising in a specified way and one involving interest rates falling in a specified way, subject to a minimum of zero.

The proposed intUp and intDn shocks have changed during the consultation process and are term dependent, see:

-          MnSolvencyII_SCRSFTermStructureStressFactors (returns an array of stress factors varying by term, as well as the terms to which each factor applies)

-          MnSolvencyII_SCRSFTermStructureStressedRate (applies the stress factor applicable to a given term, and includes any minima and maxima involved.

Stress Set Names recognised by the website are given are given in MnSolvencyII_SCRSFStressSetNames.

Part way through the consultation period it was proposed that there should also be stresses applied to interest rate volatility but these were not carried through to the final Solvency II Delegated Act.

Version dated 7 December 2015

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