Solvency Capital Requirement (SCR)

The answer to this question is provided by the European Commission. The calculation of loss-given-default on derivatives exposures should be based on one of the formulas set out in paragraphs 3 to 3c of Article 192 of Commission Delegated Regulation (EU) 2015/35. In the case of derivatives that are CCP-related and where the insurance or reinsurance undertaking is a member of the CCP and not itself a client of the CCP, the formula in Article 192(3c) should be used. Disclaimer provided by the European Commission:The answers clarify provisions already contained in the applicable legislation. They do not extend in any way the rights and obligations deriving from such legislation nor do they introduce any additional requirements for the concerned operators and competent authorities. The answers are merely intended to assist natural or legal persons, including competent authorities and Union institutions and bodies, in clarifying the application or implementation of the relevant legal provisions. Only the Court of Justice of the European Union is competent to authoritatively interpret Union law. The views expressed in the internal Commission Decision cannot prejudge the position that the European Commission might take before the Union and national courts.