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BSCR

Calculate the Basic Solvency Capital Requirement instantly.

€
€
€
€
€
€

Standalone Total

€143 930 062

Five modules before diversification

−

Correlation Adjustment

€50 193 159

−34.9% of standalone

Capital relief

+

Intangible Risk

€4 000 000

Added separately

=

BSCR

€97 736 904

After intangible add-on

BSCR build-up

Waterfall chart showing module contributions, diversification, operational risk, LAC DT adjustment, and total SCR.
StepDeltaRunning
Market Risk56387386.8900174756387386.89001747
Counterparty Default Risk7959899.496852959564347286.38687043
Life Underwriting Risk25009998.000799689357284.38767003
Health Underwriting Risk15068038.948584802104425323.33625484
Non-Life Underwriting Risk39504738.93827597143930062.2745308
Standalone module total143930062.2745308143930062.2745308
Correlation Adjustment-50193158.7283230193736903.54620779
BSCR Before Intangibles93736903.5462077993736903.54620779
Intangible Asset Risk400000097736903.54620779
BSCR97736903.5462077997736903.54620779
Diversifiable BSCR module shares
Diversifiable BSCR module sharesShare of each segment in the total.Market39.2% · €56MNon-LifeUnderwriting27.4% · €40MLife Underwriting17.4% · €25MHealthUnderwriting10.5% · €15MCounterpartyDefault5.5% · €8.0M
ModuleShareAmount
Market Risk39.2%€56M
Non-Life Underwriting Risk27.4%€40M
Life Underwriting Risk17.4%€25M
Health Underwriting Risk10.5%€15M
Counterparty Default Risk5.5%€8.0M

BSCR correlation matrix

1.000.000.250.50
BSCR correlation matrix
MKTMarketDEFCounterparty DefaultLIFELifeHLTHealthNLNon-Life
MKTMarket
1.00
0.25
0.25
0.25
0.25
DEFCounterparty Default
0.25
1.00
0.25
0.25
0.50
LIFELife
0.25
0.25
1.00
0.25
0.00
HLTHealth
0.25
0.25
0.25
1.00
0.00
NLNon-Life
0.25
0.50
0.00
0.00
1.00
1Step 1

BSCR

BSCR=∑i,jCorri,j×SCRi×SCRj+SCRintangibles\textit{BSCR} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j} + SCR_{intangibles}
2Step 2

Standalone Module Total

Standalone Module Total=Market Risk+Counterparty Default Risk+Life Underwriting Risk+Health Underwriting Risk+Non-Life Underwriting Risk\textit{Standalone Module Total} = \textit{Market Risk} + \textit{Counterparty Default Risk} + \textit{Life Underwriting Risk} + \textit{Health Underwriting Risk} + \textit{Non-Life Underwriting Risk}
3Step 3

Correlation Adjustment

Correlation Adjustment=max⁡(0,Standalone Module Total−BSCR Before Intangibles)\textit{Correlation Adjustment} = \max(0, \textit{Standalone Module Total} - \textit{BSCR Before Intangibles})

Understand the BSCR

Overview

This calculator implements the diversified capital requirement for the Basic Solvency Capital Requirement (BSCR) module within the Solvency II standard formula.[1] BSCR is defined as the economic capital necessary to maintain solvency following a 1-in-200 year stress event across the core risk modules.[2] It is the core diversified capital requirement before operational risk and loss-absorbing adjustments are applied at SCR level.[3]

Input Terms

  • Market Risk: The diversified capital requirement for interest rate, equity, property, spread, currency, and concentration risks.[4]
  • Counterparty Default Risk: The diversified capital requirement for counterparty-default exposures (Type 1 and Type 2).[5]
  • Life Underwriting Risk: The diversified capital requirement for life-insurance-specific risks, including mortality, longevity, and lapse risks.[6]
  • Health Underwriting Risk: The diversified capital requirement for health-specific risks (SLT and NSLT).[7]
  • Non-Life Underwriting Risk: The diversified capital requirement for non-life risks, including premium and reserve risk.[8]
  • Intangible Asset Risk: The 80% capital charge for intangible assets recognized in the Solvency II balance sheet.[9]

Technical Rationale

The BSCR aggregation logic is calibrated to a 99.5% confidence level over a one-year horizon. The calculation accounts for the correlation adjustment between unrelated risk drivers across the major risk modules.[1]

The formula uses a correlation matrix to aggregate Market, Counterparty Default, Life, Health, and Non-Life risks, then adds Intangible Asset Risk separately to that diversified module result under Article 87; intangible asset risk is not part of the square-root correlation matrix.[1] Article 203 defines the separate intangible asset charge as 80% of the value of recognized intangible assets.[9] The final BSCR represents the core capital requirement before Operational Risk and loss-absorbing adjustments (LAC TP and LAC DT) are applied to arrive at the final Solo SCR.[3]

Important Notes

  • Correlation Adjustment: The reduction in capital requirement from the arithmetic sum to the diversified BSCR represents the correlation adjustment recognized by the standard formula between different risk categories.
  • Regulatory deviation: Material deviation from standard-formula assumptions may support a capital add-on or a move toward an internal model where justified.[10]
  • Reporting: The BSCR result is intended to reconcile to the BSCR line in the S.25.01.01 standard-formula reporting view.[11]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 87 (Calculation of the basic Solvency Capital Requirement) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Directive 2009/138/EC - Art. 103 (Structure of the standard formula) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 164 (Correlation coefficients for market risk) - EIOPA
  5. Delegated Regulation (EU) 2015/35 - Art. 189 (Counterparty default risk module: scope) - EIOPA
  6. Delegated Regulation (EU) 2015/35 - Art. 136 (Life underwriting risk correlation coefficients) - EIOPA
  7. Delegated Regulation (EU) 2015/35 - Art. 144 (Health underwriting risk module) - EIOPA
  8. Delegated Regulation (EU) 2015/35 - Art. 114 (Non-life underwriting risk module) - EIOPA
  9. Delegated Regulation (EU) 2015/35 - Art. 203 (Intangible asset module) - EIOPA
  10. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  11. Commission Implementing Regulation (EU) 2023/894 - QRT S.25.01.01 (SCR standard formula) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.