We are adressing a question in order to clarify an issue regarding Q&A 807 which states that in template S.26.01. regarding currency risk that in C0020 to C0050 all assets and liabilities sensitive to the risk should be reported, even if for the respective shock the SCR is zero. Even though we understand the aim of showing consistency in reporting regarding sensitivity to all risk exposures, we have doubts about this approach regarding currency risk due to its methodology dissimilarities. More concretely, we have doubts that Q&A 807 is not in line with regulation (EU) 2015/2450 (Annex II).

According to the wording, listed in the items R0610-620/C020 and R0600/C0060, only assets/liabilities sensitive to the given upside shock should be presented in R0610 and only assets/liabilities sensitive to the given downside shock should be presented in R0620. Then the currency risk in R0600 is a simple sum of the rows R0610 and R0620 in C0060 and C0080.

Therefore in row R0610 should be presented just those assets/liabilities which are sensitive to the increase of the foreign currency as well as in row R0620 should be presented just those assets/liabilities which are sensitive to the decrease of the foreign currency not only in columns C0060 – C0080 but also in C0020 – C0050.

Is our interpretation correct?