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BSCR

AGGREGATION

Calculate the Basic Solvency Capital Requirement instantly.

Inputs
€
€
€
€
€
€

Standalone BSCR Sum

€10 700

Before diversification

−

Diversification Benefit

€220

−2.1% of standalone

Capital relief

=

BSCR

€10 480

After diversification

BSCR

Waterfall chart showing module contributions, diversification, operational risk, LACDT adjustment, and total SCR.
StepDeltaRunning
Market Risk350350
Counterparty Default Risk90440
Life Underwriting Risk120560
Non-Life Underwriting Risk80640
Health Underwriting Risk60700
Intangible Asset Risk1000010700
Standalone BSCR Sum1070010700
Diversification Benefit-220.0520861593413410479.947913840659
BSCR10479.94791384065910479.947913840659
Risk module shares
Risk module sharesShare of each SCR module in total stand-alone module charges.Intangible Asset93.5% · €10KMarket3.3% · €350Life Underwriting1.1% · €120CounterpartyDefault0.8% · €90Non-LifeUnderwriting0.7% · €80HealthUnderwriting0.6% · €60
ModuleShareAmount
Intangible Asset Risk93.5%€10K
Market Risk3.3%€350
Life Underwriting Risk1.1%€120
Counterparty Default Risk0.8%€90
Non-Life Underwriting Risk0.7%€80
Health Underwriting Risk0.6%€60

BSCR correlation matrix

1.000.000.25
BSCR correlation matrix
MKTMarketCTYCounterpartyLIFELifeNLNon-LifeHLTHealthINTIntangible
MKTMarket
1.00
0.25
0.25
0.25
0.25
0.00
CTYCounterparty
0.25
1.00
0.25
0.00
0.25
0.00
LIFELife
0.25
0.25
1.00
0.00
0.25
0.00
NLNon-Life
0.25
0.00
0.00
1.00
0.25
0.00
HLTHealth
0.25
0.25
0.25
0.25
1.00
0.00
INTIntangible
0.00
0.00
0.00
0.00
0.00
1.00
1Step 1

Basic Solvency Capital Requirement

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

Standalone BSCR Total

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

Diversification Benefit

Diversification Benefit=max⁡(0,Standalone BSCR Total−BSCR)\textit{Diversification Benefit} = \max\left(0, \textit{Standalone BSCR Total} - \textit{BSCR}\right)
Understand the BSCR

What this calculator does

This calculator implements the diversified Basic Solvency Capital Requirement under the standard formula. BSCR is the core diversified capital requirement before operational risk and loss-absorbing adjustments are applied at SCR level[1][2].

Input terms

  • Market Risk: The diversified market-risk charge covering interest rate, equity, property, spread, currency, and concentration risk[3].
  • Counterparty Default Risk: The diversified counterparty-default charge for Type 1 and Type 2 counterparty exposures[4].
  • Life Underwriting Risk: The diversified life underwriting charge covering mortality, longevity, disability-morbidity, expense, revision, lapse, and catastrophe risk[5].
  • Non-Life Underwriting Risk: The diversified non-life underwriting charge covering premium and reserve risk, catastrophe risk, and lapse risk[6].
  • Health Underwriting Risk: The diversified health underwriting charge covering SLT, NSLT, and health-catastrophe exposures[7].
  • Intangible Asset Risk: The capital charge for intangible assets, which is added directly rather than diversified within the BSCR matrix[8].

Calculation

The square-root BSCR aggregation formula produces a result below the arithmetic sum of the module charges because the standard formula assumes the main risk families are not perfectly correlated[1][9]. That diversification is especially significant between life and non-life risk, while intangible-asset risk sits outside the matrix and is added linearly because it reflects a separate write-down shock rather than a diversified market or underwriting dependency[8][9].

Important notes

  • Life and non-life receive strong diversification credit: in the standard formula, which is one of the main reasons composite groups can see a materially lower BSCR than the standalone arithmetic sum[9].
  • Intangible asset risk is not diversified: through the same matrix as the other BSCR modules and therefore behaves more like a linear add-on to the matrix result[8].
  • Regulatory deviation: from standard-formula assumptions may support a capital add-on or a move toward an internal model where justified[2][10].
  • Reporting: The BSCR result is intended to reconcile to the BSCR line in the S.25.01 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. 103 (Structure of the standard formula) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 164 (Correlation coefficients for market risk) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 189 (Counterparty default risk module: scope) - EIOPA
  5. Delegated Regulation (EU) 2015/35 - Art. 136 (Life underwriting risk correlation coefficients) - EIOPA
  6. Delegated Regulation (EU) 2015/35 - Art. 114 (Non-life underwriting risk module) - EIOPA
  7. Delegated Regulation (EU) 2015/35 - Art. 144 (Health underwriting risk module) - EIOPA
  8. Delegated Regulation (EU) 2015/35 - Art. 203 (Intangible asset module) - EUR-Lex
  9. Commission Delegated Regulation (EU) 2015/35 - EUR-Lex
  10. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  11. Commission Implementing Regulation (EU) 2015/2450 - QRT S.25.01 - EUR-Lex

Solvency II: Pillar 1, Aggregation