SCR Calculator User Manual

Version Last modified 2024-3-21

EU Covered Bonds

Calculated in a similar way to corporate bonds.

Note that this category specifically refers to EU AAA/AA covered bonds with legislative protection, such as German Pfandbrief and Danish mortgage bonds. They enjoy special SCR reductions under Solvency II rules and therefore form their own category.

There are also structural or contractual covered bonds that do not enjoy such special SCR reductions, mainly issued in the US. They should be treated as normal, rated corporate bonds.