Solvency II regulatory review 2025

On 17 July 2025, the European Commission released a new draft aimed at amending Delegated Regulation (EU) 2015/35, which covers the delegated acts under the Solvency II framework. The draft changes the calculation formula for interest rate shocks. Under the new approach, shocks are no longer based on fixed percentage shifts but on parameters that adjust differently across maturities. This makes the capital requirement for interest rate risk more sensitive to the actual shape of the yield curve and results in higher charges.

Our analysis of a €1 billion portfolio confirms that the revised method leads to a marked increase in the SCR for interest rate risk, particularly where asset and liability maturities are not well aligned. Insurers will need to evaluate the impact on their portfolios and adapt investment and risk strategies to meet these higher requirements.