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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

Overview

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

Input terms

  • Market Risk: The capital requirement for interest rate, equity, property, spread, currency, and concentration risks after the standard formula diversification benefit has been applied through the market-risk correlation matrix.[3]
  • Counterparty Default Risk: The diversified counterparty-default charge for Type 1 and Type 2 counterparty exposures.[4]
  • Life Underwriting Risk: The capital requirement for mortality, longevity, disability-morbidity, expense, revision, lapse, and catastrophe risks after the standard formula diversification benefit has been applied through the life correlation matrix.[5]
  • Non-Life Underwriting Risk: The capital requirement for premium and reserve, catastrophe, and lapse risks after the standard formula diversification benefit has been applied through the non-life correlation matrix.[6]
  • Health Underwriting Risk: The capital requirement for SLT health, NSLT health, and health-catastrophe risks after the standard formula diversification benefit has been applied through the health correlation matrix.[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