Question ID: 3543
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Solvency Capital Requirement (SCR)
Article: 165(1.)
Template: S.26.01
Status: Rejected
Date of submission: 26 Mar 2026
Question
Article 165, 1. (a) and (b) of regulation 269/2026 state that “the sum of the capital requirements FOR EACH CURRENCY for the risk of an increase/decrease” shall be considered.
We have discussed this statement with our existing Client base (medium size and large size European insurance companies and asset managers) and there are 2 different interpretations of this statement regarding what “for each currency” means.
These result in two different approaches how to calculate the CR for the Interest Up scenario (analogous logic for Interest Down scenario):
1. firstly calculate the sum of P/L over all currencies (using different Yield Curves per currency), then calculate the CR based on this sum
2. firstly calculate the CR for each currency, then sum up the CRs.
Alternative 1 represents the interpretation “(sum of capital requirements) for each currency”, whereas alternative 2 represents the interpretation “sum of (capital requirements for each currency)”.
Which of the 2 interpretations is correct?
Background of the question
Implementation of new requirements (EU DR 269/2026) for more than 20 European insurance companies and assets managers
EIOPA answer
This question has been rejected because the matter it refers to has been answered in Q&A 3512.