1.The capital requirement for interest rate risk referred to in Article 105(5), second subparagraph, point (a), of Directive 2009/138/EC shall be equal to the larger of the following:
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 of this Regulation;
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 of this Regulation.
By way of derogation from the first subparagraph, where the domestic currency of a Member State is pegged to the euro, and the basic risk-free interest rate term structure for the euro, adjusted for currency risk, is used to calculate the best estimate with respect to insurance or reinsurance obligations denoted in that currency in accordance with Article 48(1), insurance and reinsurance undertakings may calculate one single capital requirement for the risk of a joint increase or, as applicable, decrease in the term structure of interest rates denominated in euro and that currency.
2.Where the larger of the capital requirements referred to in points (a) and (b) of paragraph 1 and the larger of the corresponding capital requirements calculated in accordance with Article 206(2) are not based on the same scenario, the capital requirement for interest rate risk shall be the capital requirement referred to in points (a) or (b) of paragraph 1 for which the underlying scenario results in the largest corresponding capital requirement calculated in accordance with Article 206(2).