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Article 217 Ring-Fenced and MA Notional SCR Split

Calculate the Final Solvency Capital Requirement After Article 217 Split instantly.

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Final SCR After Article 217 Split

€66 000 000

1Step 1

Whole-Undertaking Gross SCR Before Adjustments

Whole-Undertaking Gross SCR Before Adjustments=Whole-Undertaking Gross BSCR+Whole-Undertaking Gross Operational Risk\textit{Whole-Undertaking Gross SCR Before Adjustments} = \textit{Whole-Undertaking Gross BSCR} + \textit{Whole-Undertaking Gross Operational Risk}
2Step 2

Whole-Undertaking Net SCR Before LACDT

Whole-Undertaking Net SCR Before LACDT=Whole-Undertaking Net BSCR After FDB+Whole-Undertaking Net Operational Risk After FDB\textit{Whole-Undertaking Net SCR Before LACDT} = \textit{Whole-Undertaking Net BSCR After FDB} + \textit{Whole-Undertaking Net Operational Risk After FDB}
3Step 3

Whole-Undertaking LAC TP

Whole-Undertaking LAC TP=max⁡(0,Whole-Undertaking Gross SCR Before Adjustments−Whole-Undertaking Net SCR Before LACDT)\textit{Whole-Undertaking LAC TP} = \max(0, \textit{Whole-Undertaking Gross SCR Before Adjustments} - \textit{Whole-Undertaking Net SCR Before LACDT})
4Step 4

Remaining-Part Gross SCR

Remaining-Part Gross SCR=Remaining-Part Gross BSCR+Remaining-Part Gross Operational Risk\textit{Remaining-Part Gross SCR} = \textit{Remaining-Part Gross BSCR} + \textit{Remaining-Part Gross Operational Risk}
5Step 5

Remaining-Part Net SCR

Remaining-Part Net SCR=Remaining-Part Net BSCR+Remaining-Part Net Operational Risk\textit{Remaining-Part Net SCR} = \textit{Remaining-Part Net BSCR} + \textit{Remaining-Part Net Operational Risk}
6Step 6

article_217_ring_fenced_1_gross_scr

article_217_ring_fenced_1_gross_scr=Ring-Fenced Fund 1 Gross BSCR+Ring-Fenced Fund 1 Gross Operational Risk\textit{article\_217\_ring\_fenced\_1\_gross\_scr} = \textit{Ring-Fenced Fund 1 Gross BSCR} + \textit{Ring-Fenced Fund 1 Gross Operational Risk}
7Step 7

article_217_ring_fenced_1_net_scr

article_217_ring_fenced_1_net_scr=Ring-Fenced Fund 1 Net BSCR+Ring-Fenced Fund 1 Net Operational Risk\textit{article\_217\_ring\_fenced\_1\_net\_scr} = \textit{Ring-Fenced Fund 1 Net BSCR} + \textit{Ring-Fenced Fund 1 Net Operational Risk}
8Step 8

article_217_ring_fenced_2_gross_scr

article_217_ring_fenced_2_gross_scr=Ring-Fenced Fund 2 Gross BSCR+Ring-Fenced Fund 2 Gross Operational Risk\textit{article\_217\_ring\_fenced\_2\_gross\_scr} = \textit{Ring-Fenced Fund 2 Gross BSCR} + \textit{Ring-Fenced Fund 2 Gross Operational Risk}
9Step 9

article_217_ring_fenced_2_net_scr

article_217_ring_fenced_2_net_scr=Ring-Fenced Fund 2 Net BSCR+Ring-Fenced Fund 2 Net Operational Risk\textit{article\_217\_ring\_fenced\_2\_net\_scr} = \textit{Ring-Fenced Fund 2 Net BSCR} + \textit{Ring-Fenced Fund 2 Net Operational Risk}
10Step 10

article_217_ring_fenced_3_gross_scr

article_217_ring_fenced_3_gross_scr=Ring-Fenced Fund 3 Gross BSCR+Ring-Fenced Fund 3 Gross Operational Risk\textit{article\_217\_ring\_fenced\_3\_gross\_scr} = \textit{Ring-Fenced Fund 3 Gross BSCR} + \textit{Ring-Fenced Fund 3 Gross Operational Risk}
11Step 11

article_217_ring_fenced_3_net_scr

article_217_ring_fenced_3_net_scr=Ring-Fenced Fund 3 Net BSCR+Ring-Fenced Fund 3 Net Operational Risk\textit{article\_217\_ring\_fenced\_3\_net\_scr} = \textit{Ring-Fenced Fund 3 Net BSCR} + \textit{Ring-Fenced Fund 3 Net Operational Risk}
12Step 12

article_217_matching_adjustment_1_gross_scr

article_217_matching_adjustment_1_gross_scr=Matching-Adjustment Portfolio 1 Gross BSCR+Matching-Adjustment Portfolio 1 Gross Operational Risk\textit{article\_217\_matching\_adjustment\_1\_gross\_scr} = \textit{Matching-Adjustment Portfolio 1 Gross BSCR} + \textit{Matching-Adjustment Portfolio 1 Gross Operational Risk}
13Step 13

article_217_matching_adjustment_1_net_scr

article_217_matching_adjustment_1_net_scr=Matching-Adjustment Portfolio 1 Net BSCR+Matching-Adjustment Portfolio 1 Net Operational Risk\textit{article\_217\_matching\_adjustment\_1\_net\_scr} = \textit{Matching-Adjustment Portfolio 1 Net BSCR} + \textit{Matching-Adjustment Portfolio 1 Net Operational Risk}
14Step 14

article_217_matching_adjustment_2_gross_scr

article_217_matching_adjustment_2_gross_scr=Matching-Adjustment Portfolio 2 Gross BSCR+Matching-Adjustment Portfolio 2 Gross Operational Risk\textit{article\_217\_matching\_adjustment\_2\_gross\_scr} = \textit{Matching-Adjustment Portfolio 2 Gross BSCR} + \textit{Matching-Adjustment Portfolio 2 Gross Operational Risk}
15Step 15

article_217_matching_adjustment_2_net_scr

article_217_matching_adjustment_2_net_scr=Matching-Adjustment Portfolio 2 Net BSCR+Matching-Adjustment Portfolio 2 Net Operational Risk\textit{article\_217\_matching\_adjustment\_2\_net\_scr} = \textit{Matching-Adjustment Portfolio 2 Net BSCR} + \textit{Matching-Adjustment Portfolio 2 Net Operational Risk}
16Step 16

Article 217 Gross SCR Before Adjustments

Article 217 Gross SCR Before Adjustments=Remaining-Part Gross SCR+article_217_ring_fenced_1_gross_scr+article_217_ring_fenced_2_gross_scr+article_217_ring_fenced_3_gross_scr+article_217_matching_adjustment_1_gross_scr+article_217_matching_adjustment_2_gross_scr\textit{Article 217 Gross SCR Before Adjustments} = \textit{Remaining-Part Gross SCR} + \textit{article\_217\_ring\_fenced\_1\_gross\_scr} + \textit{article\_217\_ring\_fenced\_2\_gross\_scr} + \textit{article\_217\_ring\_fenced\_3\_gross\_scr} + \textit{article\_217\_matching\_adjustment\_1\_gross\_scr} + \textit{article\_217\_matching\_adjustment\_2\_gross\_scr}
17Step 17

Article 217 Net SCR Before LACDT

Article 217 Net SCR Before LACDT=Remaining-Part Net SCR+article_217_ring_fenced_1_net_scr+article_217_ring_fenced_2_net_scr+article_217_ring_fenced_3_net_scr+article_217_matching_adjustment_1_net_scr+article_217_matching_adjustment_2_net_scr\textit{Article 217 Net SCR Before LACDT} = \textit{Remaining-Part Net SCR} + \textit{article\_217\_ring\_fenced\_1\_net\_scr} + \textit{article\_217\_ring\_fenced\_2\_net\_scr} + \textit{article\_217\_ring\_fenced\_3\_net\_scr} + \textit{article\_217\_matching\_adjustment\_1\_net\_scr} + \textit{article\_217\_matching\_adjustment\_2\_net\_scr}
18Step 18

Article 217 LAC TP

Article 217 LAC TP=max⁡(0,Article 217 Gross SCR Before Adjustments−Article 217 Net SCR Before LACDT)\textit{Article 217 LAC TP} = \max(0, \textit{Article 217 Gross SCR Before Adjustments} - \textit{Article 217 Net SCR Before LACDT})
19Step 19

gross_scr_before_adjustments

gross_scr_before_adjustments=1−Apply Article 217 Notional Split (0/1)×Whole-Undertaking Gross SCR Before Adjustments+Apply Article 217 Notional Split (0/1)×Article 217 Gross SCR Before Adjustments\textit{gross\_scr\_before\_adjustments} = 1 - \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Whole-Undertaking Gross SCR Before Adjustments} + \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Article 217 Gross SCR Before Adjustments}
20Step 20

net_scr_before_lacdt

net_scr_before_lacdt=1−Apply Article 217 Notional Split (0/1)×Whole-Undertaking Net SCR Before LACDT+Apply Article 217 Notional Split (0/1)×Article 217 Net SCR Before LACDT\textit{net\_scr\_before\_lacdt} = 1 - \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Whole-Undertaking Net SCR Before LACDT} + \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Article 217 Net SCR Before LACDT}
21Step 21

lac_tp

LAC TP=max⁡(0,gross_scr_before_adjustments−net_scr_before_lacdt)\textit{LAC TP} = \max(0, \textit{gross\_scr\_before\_adjustments} - \textit{net\_scr\_before\_lacdt})
22Step 22

lacdt_base

lacdt_base=gross_scr_before_adjustments+LAC TP\textit{lacdt\_base} = \textit{gross\_scr\_before\_adjustments} + \textit{LAC TP}
23Step 23

lacdt_tax_relief

lacdt_tax_relief=lacdt_base×Corporate Tax Rate\textit{lacdt\_tax\_relief} = \textit{lacdt\_base} \times \textit{Corporate Tax Rate}
24Step 24

lacdt_recoverable_capacity

lacdt_recoverable_capacity=Net Deferred Tax Liabilities+Expected Future Taxable Profits Available for Recovery+Tax-Loss Carryback Capacity\textit{lacdt\_recoverable\_capacity} = \textit{Net Deferred Tax Liabilities} + \textit{Expected Future Taxable Profits Available for Recovery} + \textit{Tax-Loss Carryback Capacity}
25Step 25

lacdt_adjustment

lacdt_adjustment=max⁡(0,min⁡(lacdt_tax_relief,lacdt_recoverable_capacity))\textit{lacdt\_adjustment} = \max(0, \min(\textit{lacdt\_tax\_relief}, \textit{lacdt\_recoverable\_capacity}))
26Step 26

total_loss_absorbing_adjustment

total_loss_absorbing_adjustment=LAC TP+LACDT Adjustment\textit{total\_loss\_absorbing\_adjustment} = \textit{LAC TP} + \textit{LACDT Adjustment}
27Step 27

final_scr

final_scr=max⁡(0,gross_scr_before_adjustments−total_loss_absorbing_adjustment)\textit{final\_scr} = \max(0, \textit{gross\_scr\_before\_adjustments} - \textit{total\_loss\_absorbing\_adjustment})
28Step 28

Selected SCR Before Adjustments

Selected SCR Before Adjustments=1−Apply Article 217 Notional Split (0/1)×Whole-Undertaking Gross SCR Before Adjustments+Apply Article 217 Notional Split (0/1)×Article 217 Gross SCR Before Adjustments\textit{Selected SCR Before Adjustments} = 1 - \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Whole-Undertaking Gross SCR Before Adjustments} + \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Article 217 Gross SCR Before Adjustments}
29Step 29

Selected Net SCR Before LACDT

Selected Net SCR Before LACDT=1−Apply Article 217 Notional Split (0/1)×Whole-Undertaking Net SCR Before LACDT+Apply Article 217 Notional Split (0/1)×Article 217 Net SCR Before LACDT\textit{Selected Net SCR Before LACDT} = 1 - \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Whole-Undertaking Net SCR Before LACDT} + \textit{Apply Article 217 Notional Split (0/1)} \times \textit{Article 217 Net SCR Before LACDT}
30Step 30

Selected LAC TP

Selected LAC TP=max⁡(0,gross_scr_before_adjustments−net_scr_before_lacdt)\textit{Selected LAC TP} = \max(0, \textit{gross\_scr\_before\_adjustments} - \textit{net\_scr\_before\_lacdt})
31Step 31

Selected LACDT Instantaneous-Loss Base

Selected LACDT Instantaneous-Loss Base=gross_scr_before_adjustments+LAC TP\textit{Selected LACDT Instantaneous-Loss Base} = \textit{gross\_scr\_before\_adjustments} + \textit{LAC TP}
32Step 32

Selected LACDT Tax Relief

Selected LACDT Tax Relief=lacdt_base×Corporate Tax Rate\textit{Selected LACDT Tax Relief} = \textit{lacdt\_base} \times \textit{Corporate Tax Rate}
33Step 33

Selected LACDT Recoverable Capacity

Selected LACDT Recoverable Capacity=Net Deferred Tax Liabilities+Expected Future Taxable Profits Available for Recovery+Tax-Loss Carryback Capacity\textit{Selected LACDT Recoverable Capacity} = \textit{Net Deferred Tax Liabilities} + \textit{Expected Future Taxable Profits Available for Recovery} + \textit{Tax-Loss Carryback Capacity}
34Step 34

Selected LACDT Adjustment

Selected LACDT Adjustment=max⁡(0,min⁡(lacdt_tax_relief,lacdt_recoverable_capacity))\textit{Selected LACDT Adjustment} = \max(0, \min(\textit{lacdt\_tax\_relief}, \textit{lacdt\_recoverable\_capacity}))
35Step 35

Selected Total Loss-Absorbing Adjustment

Selected Total Loss-Absorbing Adjustment=LAC TP+LACDT Adjustment\textit{Selected Total Loss-Absorbing Adjustment} = \textit{LAC TP} + \textit{LACDT Adjustment}
36Step 36

Final SCR After Article 217 Split

Final SCR After Article 217 Split=max⁡(0,gross_scr_before_adjustments−total_loss_absorbing_adjustment)\textit{Final SCR After Article 217 Split} = \max(0, \textit{gross\_scr\_before\_adjustments} - \textit{total\_loss\_absorbing\_adjustment})

Understand the 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. It recomputes gross SCR, net SCR, LAC TP, LACDT, 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.[1][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 LACDT 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.[2][3] This engine 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 and LACDT on the resulting decomposed view. The purpose is to stop unrestricted diversification assumptions from leaking across legally or operationally restricted portfolios.

Important Notes

  • Standalone split engine: This route is intentionally limited to the Article 217 decomposition. It is not a full capital-availability or fungibility engine.
  • 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 engine 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.

Sources

  1. Directive 2009/138/EC - Art. 81 (Recoverables from reinsurance contracts and special purpose vehicles) - EIOPA
  2. Delegated Regulation (EU) 2015/35 - Art. 216 (Treatment of ring-fenced funds and matching-adjustment portfolios) - EUR-Lex
  3. Delegated Regulation (EU) 2015/35 - Art. 217 (Notional Solvency Capital Requirement for ring-fenced funds and matching-adjustment portfolios) - 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.