Version status: Entered into force | Document consolidation status: Updated to reflect all known changes
Version date: 6 January 2010 - onwards
  Version 2 of 2    

Annex IV Solvency Capital Requirement (SCR) Standard Formula

1. Calculation of the Basic Solvency Capital Requirement

The Basic Solvency Capital Requirement set out in Article 104(1) shall be equal to the following:

where SCRi denotes the risk module i and SCRj denotes the risk module j, and where "i,j" means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:

- SCR non-life denotes the non-life underwriting risk module,

- SCR life denotes the life underwriting risk module,

- SCR health denotes the health underwriting risk module,

- SCR market denotes the market risk module,

- SCR default denotes the counterparty default risk module,

The factor Corr i,j denotes the item set out in row i and in column j of the following correlation matrix:

i/j

Market

Default

Life

Health

Non-life

Market

1

0,25

0,25

0,25

0,25

Default

0,25

1

0,25

0,25

0,5

Life

0,25

0,25

1

0,25

0

Health

0,25

0,25

0,25

1

0