SCR Calculator User Manual

EU Covered Bonds

EU covered bonds are calculated similarly to corporate bonds.

This category specifically includes EU AAA/AA covered bonds with legislative protection, such as German Pfandbrief and Danish mortgage bonds. These bonds qualify for special SCR reductions under Solvency II, warranting their own category.

In contrast, structural or contractual covered bonds, primarily issued in the US, do not qualify for such SCR reductions. These are treated as standard rated corporate bonds.