Solvency Capital Requirement (SCR)

The answer to this question is provided by the European Commission. Article 180(1), (3), (5), (11), (13), (14) and (16) of Commission Delegated Regulation (EU) 2015/35 sets out the rules for the calculation of the capital requirements for specific types of bond and loan exposures. Where not otherwise specified, the general rules for the calculation of the capital requirements for types of bond and loan exposures in Article 176(2) remain relevant. In particular, that paragraph requires that the modified duration should be denominated in years and never be lower than one. 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.