MCR Notional Composite Split

Overview

This calculator implements the Notional Minimum Capital Requirement (NMCR) for composite insurance undertakings within the Solvency II standard formula.^[1] The Notional MCR is defined as the absolute minimum capital level below which an undertaking's authorization for either life or non-life business would be withdrawn, ensuring a separation of capital between these segments.^[2]

Input Terms

• Notional Non-Life MCR: The weighted sum of technical provisions and premiums for the non-life segment of a composite undertaking.^[2]
• Notional Life MCR: The weighted sum of technical provisions and capital at risk for the life segment.

Technical Rationale

The Notional MCR is a volume-based measure of capital adequacy for composite insurers (those licensed for both life and non-life business). It ensures that the absolute floor for capital adequacy for each segment is never lower than a base level derived from its specific business volume and obligations.

The calculation applies prescribed factors to net technical provisions and net written premiums (for non-life) or technical provisions and net amount at risk (for life). These factors are calibrated to provide a point of intervention for supervisory authorities when a firm's financial position deteriorates significantly in either segment.^[1] The final results represent the segmented contributions to the total Minimum Capital Requirement (MCR).

Important Notes

• Separation of MCR: Composite undertakings must maintain the absolute floor for both life and non-life segments separately. The sum of the notional MCRs forms the total Minimum Capital Requirement.
• Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.28.01 standard-formula reporting view.^[3]