Recital 20

(20)Article 164(3) of Delegated Regulation (EU) 2015/35 provides that the correlation between standard formula spread risk and interest rate risk in the interest rate downward scenario is 50 %. However, economic analysis conducted by the European Insurance and Occupational Pensions Authority (‘EIOPA’) demonstrates that such calibration is overly conservative ⁷ . In particular, empirical data shows that the largest interest rate decreases did not occur at the same time as the largest spread widening in bond markets. Therefore, the correlation between spread risk and interest rate risk in the interest rate downward scenario should be decreased to 25 %.