Question ID: 3567
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Long Term Guarantees (LTGs)
Article: 51a(2)
Status: Final
Date of submission: 12 May 2026
Question
In the calculation for the CSSR used in the revised volatility adjustment, please can you clarify around if certain balance sheet items contribute towards the numerator of the CSSR. Specifically, if an insurer owns bonds and then lends out those bonds through a repo, should the duration of these bonds be included? Also, if the insurer is exposed to bonds through a derivative (such as purchasing bonds on a forward basis), should the duration of the bonds in these derivatives be included too?
Background of the question
In the amendments to EU 2015/35 due to be implemented in January 2027, detailed in EU 2026/269, the CSSR is introduced for the volatility adjustment, where the CSSR numerator is defined as "price value of a basis point of the investments in bonds, loans and securitisations", but it's unclear if other bond exposures should be considered too (including bond repo and bond derivatives)
EIOPA answer
Bonds subject to securities lending transactions and similar agreements such as repurchase agreements should be included in the CSSR calculation if they are recognised on the balance sheet of the insurance or reinsurance undertaking.
Derivatives should not be included in the CSSR calculation. Article 51a(2)(a) of Delegated Regulation (EU) 2015/35 refers to investments in bonds, loans and securitisations and does not extend the numerator to derivative exposures.