My doubt is about art. 165, par. 2, of the Delegated Regulation 2015/35: if my understanding is correct, according to this provision, when the SCR and the nSCR for interest rate risk are not based on the same scenario, the first one shall be calculated based on the scenario that is relevant for the second one.

Now assume that:
- SCR int up = 2.000, SCR int down = 1.000
- nSCR int up = 500, nSCR int down = 600
- FDB = 750
- all the other risk (sub)modules are null
According to the above provision, the SCR would be:
BSCR – min(BSCR – nBSCR; FDB) = 1.000 – (1.000 – 600) = 600
Now assume that the upward interest rate shock occurs in reality -> the impact could not be 2.000 – (2.000 – 500) = 2.000 – 1.500 = 500, since 1.500 is higher than 750 (the loss-absorbing capacity of technical provision cannot exceed the value of FDB).
We would actually suffer a loss of 2.000 – 750 = 1.250, which is greater than the estimated SCR.

My opinion is that the provision under art. 165, par. 2 is valid until the FDB are enough to cover the difference between the gross and the net requirement. Where this condition is not met, the above provision leads to an underestimation of the SCR.