Question ID: 3638
Regulation Reference: (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
Topic: Long Term Guarantees (LTGs)
Article: 77d(3)
Status: Rejected
Date of submission: 07 Sep 2026
Question
Does the look-through approach apply to which assets qualify when calculating the CSSR?
Background of the question
An insurer may have non-EUR fixed income assets that have been repacked with a cross-currency swap through a special purpose entity into a EUR denominated fixed income asset. Would the duration of this asset be taken into account in the CSSR calculation, assuming the insurer's liabilities are all EUR denominated?
EIOPA answer
The question has been rejected as the issue it deals with is already explained in Q&A 3528 as well as Article 51a of the Delegated Regulation (EU) 2015/35.
It follows from Q&A 3528 that for collective investment undertakings and investments packaged as funds the underlying assets should be considered; derivatives should not be included in the CSSR calculation.
Furthermore, it follows from Article 51a that foreign currency investment should not be included in the calculation.