Solvency Capital Requirement (SCR)

Step-by-step explanation of how to calculate the proportion according to Article 209(2) of Commission Delegated Regulation (EU) 2015/35 is as follows:First, determine the number of months (or another time unit) that the risk-mitigation technique will stay in force from the calculation date up to the end of the SCR 1-year time horizon (=12 months), i.e. the remaining maturity, noted “M_mitigation_relevant=min(M_mitigation, 12 months)".Second, determine the remaining maturity of the risk exposure, noted “M_exposure_relevant=min(M_exposure, 12 months)".Third, determine the shorter remaining maturity of the two, noted “M_effective". M_effective=min(M_mitigation_relevant, M_exposure_relevant).Divide the effective relevant maturity by the 12 months since the full effect is taken into account only for risk mitigation techniques in force at least 12 months. Proportion = M_effective / 12.If the conditions in Article 209(3) are met, the risk mitigation technique is fully taken into account. In this case, the Proportion is set to 1.