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SCR

Calculate the Solvency Capital Required instantly.

SCR Terms
€
€
€
€

Final SCR

€110 000

After all adjustments

SCR build-up

Waterfall chart showing module contributions, diversification, operational risk, LACDT adjustment, and total SCR.
StepDeltaRunning
BSCR120000120000
Operational Risk10000130000
LAC TP-10000120000
LACDT-10000110000
Final SCR110000110000
1Step 1

SCR Before Adjustments

SCR Before Adjustments=BSCR+Operational Risk Used\textit{SCR Before Adjustments} = \textit{BSCR} + \textit{Operational Risk Used}
2Step 2

Total Loss-Absorbing Adjustment

Total Loss-Absorbing Adjustment=LAC TP Used+LACDT Used\textit{Total Loss-Absorbing Adjustment} = \textit{LAC TP Used} + \textit{LACDT Used}
3Step 3

Final SCR

SCR=max⁡(0,SCR Before Adjustments−Total Loss-Absorbing Adjustment)\textit{SCR} = \max\left(0, \textit{SCR Before Adjustments} - \textit{Total Loss-Absorbing Adjustment}\right)
Understand the SCR

Overview

This calculator implements the top-level standard formula structure for the Solvency Capital Requirement.[1] The SCR is the economic capital requirement calibrated so that the probability of insolvency over a one-year horizon does not exceed 0.5 percent, or a 1-in-200 year event.[2] It is the primary supervisory capital standard under Solvency II Pillar 1.

Input terms

  • BSCR: The capital requirement for market, underwriting, and counterparty risks after the standard formula diversification benefit has been applied through the BSCR matrix.[3]
  • Operational Risk: The standalone operational risk charge. It is added directly to the BSCR, does not diversify against the other SCR modules, and is capped as 30% of the BSCR as part of the standard formula mechanics.[4]
  • LAC TP: The Loss-Absorbing Capacity of Technical Provisions, meaning the portion of stress loss that would be offset by a reduction in future discretionary benefits in the best estimate liability view.[5]
  • LAC DT: The Loss-Absorbing Capacity of Deferred Taxes, meaning the tax relief available after the theoretical stress loss occurs. It is bounded by net deferred tax liabilities on the Solvency II balance sheet and requires evidence of future recoverability.[5]

Calculation

Operational risk is added after BSCR rather than inside it because it reflects process, systems, governance, and operational failure exposure which is independent of market or underwriting events and therefore receives no diversification benefit against them. The LAC adjustments reflect genuine economic offsets: if a severe stress occurs, discretionary benefits can fall and tax liabilities can shrink, so requiring capital for losses that would already be absorbed in those ways would overstate the true solvency need.

Important notes

  • Negative SCR is not possible: If the LAC adjustments exceed the pre-adjustment SCR, the result is floored so the final capital requirement does not become negative.
  • Regulatory deviation: If the standard formula materially misrepresents the undertaking's risk profile, the supervisory authority may impose a capital add-on or require a move toward an internal-model approach.[6]
  • Reporting: The SCR output is intended to reconcile to the S.25.01 view in the Solvency II QRT package.[7]

Sources

  1. Directive 2009/138/EC - Art. 103 (Structure of the standard formula) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 87 (Calculation of the basic Solvency Capital Requirement) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 204 (Operational risk) - EIOPA
  5. Directive 2009/138/EC - Art. 108 (Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes) - EIOPA
  6. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  7. Commission Implementing Regulation (EU) 2015/2450 - QRT S.25.01 - EUR-Lex

Solvency II: Pillar 1, SCR