In its letter of 19 July 2007, the European Commission requested CEIOPS to provide final, fully consulted advice on Level 2 implementing measures by October 2009 and recommended CEIOPS to develop Level 3 guidance on certain areas to foster supervisory convergence. On 12 June 2009 the European Commission sent a letter with further guidance regarding the Solvency II project, including the list of implementing measures and timetable until implementation.
This Paper aims at providing advice with regard to the calculation of the Minimum Capital Requirement (MCR) as requested in Article 130 of the Solvency II Level 1 text1 (“Level 1 text”).
The objective of this paper is to specify the calculation of the MCR in a clear and detailed way, including the following aspects:
• the calculation of the MCR, including the linear formula subject to the SCR based cap and floor and the absolute floor defined in the Level 1 text,
• the quarterly calculation of the MCR, required by Article 129(4) of the Level 1 text, and
• the calculation of the notional life and non-life MCR required for composite undertakings by Article 74(3) of the Level 1 text.
This Paper does not include advice regarding the calibration of the MCR linear formula factors. The calibration of these factors is connected to the calibration of the parameters of the SCR standard formula. CEIOPS will consult on the calibration proposal in its third set of consultation papers on starting in November 2009.
© CEIOPS
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