Commission Delegated Regulation (EU) 2026/269 amending Delegated Regulation (EU) 2015/35

The European Commission amends Delegated Regulation (EU) 2015/35 to implement Directive (EU) 2025/2 by revising technical provisions, own funds, and risk calculations for insurance and reinsurance undertakings. Key changes include lifting the double-rating requirement for STS securitisations, introducing an exponential factor to reduce risk margins by up to 50%, and adjusting interest rate extrapolation parameters, such as setting a 40% convergence parameter for the Swedish krona. The regulation also mandates accrual-based deduction of foreseeable dividends, simplifies counterparty default risk calculations for smaller entities, and reduces the correlation between spread and interest rate risk in the standard formula from 50% to 25%.

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Source: European Insurance and Occupational Pensions Authority — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works