Question ID: 3623
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: 169 (5)
Status: Rejected
Date of submission: 23 Jul 2026
Question
Following the recent updates to the standard equity risk module, particularly paragraph 5 of Article 169, please can you confirm the treatment of a long/short equity strategy where the short position does not qualify for risk mitigation.
Do we take the absolute value? E.g. 100 long + 100 Short = 200 *(39% + symmetric adjustment) ; or has the treatment been kept the same i.e. 100 long only = 100* (39% + symmetric adjustment).
Secondly, what is the treatment of a naked short position under the latest solvency II equity risk rules. For example a EUR 100 short future on the Euro Stoxx 50. would this be 0% or 100*(39%+ symmetric adjustment)?
Background of the question
We are reviewing the changes in Solvency II capital rules following the publication of COMMISSION DELEGATED REGULATION (EU) 2026/269 The paragraph is difficult to understand and we hope to get clarity on the treatment of long/short equity strategies and naked short equity positions questions have been asked in the past but they were based on regulations prior to the new changes, hence why we are seeking renewed clarificaitons.
EIOPA answer
The question has been rejected because the matter it refers to is already addressed in Q&A 1568 and 3375.
Concerning the first question, the revised Article 169(5) of Delegated Regulation 2015/35 clarifies the treatment of equity positions with negative value other than short equity position without affecting the validity and relevance of the answer to Q&A 1568.
Concerning the second question, please refer to Q&A 3375 which point to the Guideline 6 of the guidelines on market and counterparty risk exposure in the standard formula (EIOPA-BoS-14/174) which addresses the treatment of short equity position. Please note that Guideline 6 in EIOPA-BoS-14/174 has been revised to Guideline 4 in EIOPA-BoS-25/664.