Article 217 Ring-Fenced and MA Notional SCR Split

Overview

This calculator implements the Article 217 notional SCR split for ring-fenced funds and matching-adjustment portfolios within the Solvency II standard formula.^[1] It recomputes gross SCR, net SCR, LAC TP, LAC DT, and final SCR on a decomposed view that separates the remaining undertaking from restricted portfolios where diversification cannot simply be assumed across the whole balance sheet.^[2][3]

Input Terms

• Whole-Undertaking Gross / Net BSCR and Operational Risk: The pre-split solvency view for the undertaking before the Article 217 decomposition is applied.
• Remaining-Part SCR Inputs: Gross and net BSCR plus operational risk for the unrestricted remainder of the undertaking after ring-fenced and matching-adjustment portfolios have been carved out.
• Ring-Fenced Fund Slices: The notional gross and net BSCR plus operational-risk inputs for each identified ring-fenced fund.
• Matching-Adjustment Portfolio Slices: The notional gross and net BSCR plus operational-risk inputs for each matching-adjustment portfolio.
• Deferred-Tax Recovery Inputs: Net deferred-tax liabilities, expected future taxable profits, tax-loss carryback capacity, and tax rate used to cap the LAC DT result on the decomposed SCR view.

Technical Rationale

Article 216 requires special treatment where the undertaking contains ring-fenced funds or matching-adjustment portfolios, and Article 217 requires a notional SCR to be calculated for each of those restricted slices.^[3][1] This calculator sums:

• the remaining-part gross and net SCR,
• each ring-fenced fund's notional gross and net SCR, and
• each matching-adjustment portfolio's notional gross and net SCR,

then recalculates LAC TP from the decomposed BSCR/nBSCR view and LAC DT from the selected SCR loss base. The purpose is to stop unrestricted diversification assumptions from leaking across legally or operationally restricted portfolios.

Important Notes

• Standalone split calculator: This route is intentionally limited to the Article 217 decomposition. It is not a full capital-availability or fungibility calculator.
• Upstream dependency: The per-slice BSCR and operational-risk inputs still need to come from the relevant underlying SCR chain for each ring-fenced fund or matching-adjustment portfolio.
• Downstream dependency: The final SCR output is designed to feed the own-funds and ratio chain once the undertaking has established the restricted-portfolio decomposition.
• Residual gap: This calculator does not yet allocate restricted own funds or transferability constraints across jurisdictions. Those broader capital-availability controls remain part of the separate restricted-capital roadmap.
• Current-rule check: Post-2015 amendments to the Delegated Regulation include group-solvency and own-funds changes. Article 217 slice assumptions and restricted-portfolio inputs must be verified against the current consolidated rulebook before professional use.