Risk Margin Reference Undertaking SCR

Calculate the Reference Undertaking Solvency Capital Requirement instantly.

Projection Years

Initial Rate

Ultimate Rate

Convergence

Governance Gate

5 projection rows are active. Rows beyond the selected horizon remain visible for review but are excluded from the SCR run-off.

Year	Liability Cash Outflow	Reinsurance / SPV Recovery	Net Cash Flow	Derived Rate	Discounted Net CF
1	Year 1 liability cash outflow€	Year 1 reinsurance or SPV recovery€	€22 500 000	2.00%	€22 058 824
2	Year 2 liability cash outflow€	Year 2 reinsurance or SPV recovery€	€19 800 000	2.10%	€18 993 881
3	Year 3 liability cash outflow€	Year 3 reinsurance or SPV recovery€	€17 100 000	2.19%	€16 023 999
4	Year 4 liability cash outflow€	Year 4 reinsurance or SPV recovery€	€14 400 000	2.27%	€13 162 927
5	Year 5 liability cash outflow€	Year 5 reinsurance or SPV recovery€	€11 700 000	2.34%	€10 420 200
6	Year 6 liability cash outflow€	Year 6 reinsurance or SPV recovery€	€0	0.00%	€0
7	Year 7 liability cash outflow€	Year 7 reinsurance or SPV recovery€	€0	0.00%	€0
8	Year 8 liability cash outflow€	Year 8 reinsurance or SPV recovery€	€0	0.00%	€0
9	Year 9 liability cash outflow€	Year 9 reinsurance or SPV recovery€	€0	0.00%	€0
10	Year 10 liability cash outflow€	Year 10 reinsurance or SPV recovery€	€0	0.00%	€0
11	Year 11 liability cash outflow€	Year 11 reinsurance or SPV recovery€	€0	0.00%	€0
12	Year 12 liability cash outflow€	Year 12 reinsurance or SPV recovery€	€0	0.00%	€0
13	Year 13 liability cash outflow€	Year 13 reinsurance or SPV recovery€	€0	0.00%	€0
14	Year 14 liability cash outflow€	Year 14 reinsurance or SPV recovery€	€0	0.00%	€0
15	Year 15 liability cash outflow€	Year 15 reinsurance or SPV recovery€	€0	0.00%	€0
16	Year 16 liability cash outflow€	Year 16 reinsurance or SPV recovery€	€0	0.00%	€0
17	Year 17 liability cash outflow€	Year 17 reinsurance or SPV recovery€	€0	0.00%	€0
18	Year 18 liability cash outflow€	Year 18 reinsurance or SPV recovery€	€0	0.00%	€0
19	Year 19 liability cash outflow€	Year 19 reinsurance or SPV recovery€	€0	0.00%	€0
20	Year 20 liability cash outflow€	Year 20 reinsurance or SPV recovery€	€0	0.00%	€0

Module	Driver	Input	Result
Market	Interest rate	Interest rate€	Aggregated market risk €2 996 682
	Equity	Equity€
	Property	Property€
	Spread	Spread€
	Currency	Currency€
	Concentration	Concentration€
Counterparty	Type 1	Type 1€	Aggregated default risk €1 400 005
Counterparty	Type 2	Type 2€	Aggregated default risk €1 400 005
Life	Mortality	Mortality€	Aggregated life risk €1 356 472
	Longevity	Longevity€
	Disability-morbidity	Disability-morbidity€
	Expense	Expense€
	Revision	Revision€
	Lapse	Lapse€
	Catastrophe	Catastrophe€
Health	NSLT	NSLT€	Aggregated health risk €16
	SLT	SLT€
	Catastrophe	Catastrophe€
Non-Life	Premium and reserve	Premium and reserve€	Aggregated non-life risk €1 600 002
	Catastrophe	Catastrophe€
	Lapse	Lapse€
Other	Intangible assets	Intangible assets€	Intangible add-on €0

Module	Driver	Input	Result
Premium Base	Earned life premiums	Earned life premiums€	Premium component €1 280 000
	Earned life unit-linked premiums	Earned life unit-linked premiums€
	Earned non-life premiums	Earned non-life premiums€
	Prior-year earned life premiums	Prior-year earned life premiums€
	Prior-year earned life unit-linked premiums	Prior-year earned life unit-linked premiums€
	Prior-year earned non-life premiums	Prior-year earned non-life premiums€
Provision Base	Life technical provisions	Life technical provisions€	Provision component €939 000
	Life unit-linked technical provisions	Life unit-linked technical provisions€
	Non-life technical provisions	Non-life technical provisions€
UL Expenses	Unit-linked expenses	Unit-linked expenses€	Operational risk €1 580 000

Reference SCR Base

€6 585 718

Reference Undertaking BSCR

€5 005 718

Operational Risk

€1 580 000

Reference SCR After LAC DT

€6 585 718

Reference SCR Base

€6 585 718

−

LAC DT

€0

Reference Undertaking SCR

€6 585 718

Reference SCR After LAC DT

€6 585 718

Zero Floor

€0

Required Assets at Transfer

€87 245 549

Reference Undertaking SCR

€6 585 718

Net TP

€80 659 831

Reference BSCR correlation build-up

Step	Delta	Running
Market	2996681.531419213	2996681.531419213
Counterparty Default	1400004.500005625	4396686.031424838
Life	1356472.226128497	5753158.257553335
Health	15.524174696260024	5753173.781728031
Non-Life	1600002.0000265625	7353175.781754593
Standalone Component Total	7353175.781754593	7353175.781754593
Correlation Adjustment	-2347457.6475949604	5005718.134159633
Reference BSCR Before Intangibles	5005718.134159633	5005718.134159633

Reference BSCR module shares

Module	Share	Amount
Market	40.8%	€3.0M
Non-Life	21.8%	€1.6M
Counterparty Default	19.0%	€1.4M
Life	18.4%	€1.4M

Reference BSCR correlation matrix

1.000.000.250.50

Reference BSCR correlation matrix
	MKTMarket	DEFCounterparty Default	LIFELife	HLTHealth	NLNon-Life
MKTMarket	1.00	0.25	0.25	0.25	0.25
DEFCounterparty Default	0.25	1.00	0.25	0.25	0.50
LIFELife	0.25	0.25	1.00	0.25	0.00
HLTHealth	0.25	0.25	0.25	1.00	0.00
NLNon-Life	0.25	0.50	0.00	0.00	1.00

Reference market correlation build-up

Step	Delta	Running
Interest Rate	22	22
Equity	1400000	1400022
Property	6	1400028
Spread	1800000	3200028
Currency	4	3200032
Concentration	5	3200037
Standalone Component Total	3200037	3200037
Correlation Adjustment	-203355.46858078707	2996681.531419213
Reference Market Risk	2996681.531419213	2996681.531419213

Reference market sub-module shares

Module	Share	Amount
Spread	56.2%	€1.8M
Equity	43.7%	€1.4M

Reference market correlation matrix

1.000.000.250.500.75

Reference market correlation matrix
	IRInterest Rate	EQEquity	PRProperty	SPSpread	FXCurrency	CONCConcentration
IRInterest Rate	1.00	0.50	0.50	0.50	0.25	0.00
EQEquity	0.50	1.00	0.75	0.75	0.25	0.00
PRProperty	0.50	0.75	1.00	0.50	0.25	0.00
SPSpread	0.50	0.75	0.50	1.00	0.25	0.00
FXCurrency	0.25	0.25	0.25	0.25	1.00	0.00
CONCConcentration	0.00	0.00	0.00	0.00	0.00	1.00

Reference counterparty correlation build-up

Step	Delta	Running
Type 1	1400000	1400000
Type 2	6	1400006
Standalone Component Total	1400006	1400006
Correlation Adjustment	-1.49999437504448	1400004.500005625
Reference Counterparty Default Risk	1400004.500005625	1400004.500005625

Reference counterparty exposure mix

Module	Share	Amount
Type 1	100.0%	€1.4M

Reference counterparty aggregation matrix

1.000.75

Reference counterparty aggregation matrix
	T1Type 1	T2Type 2
T1Type 1	1.00	0.75
T2Type 2	0.75	1.00

Reference life correlation build-up

Step	Delta	Running
Mortality	1200000	1200000
Longevity	1000000	2200000
Disability	5	2200005
Expense	6	2200011
Revision	4	2200015
Lapse	7	2200022
Life Catastrophe	3	2200025
Standalone Component Total	2200025	2200025
Correlation Adjustment	-843552.7738715031	1356472.226128497
Reference Life Underwriting Risk	1356472.226128497	1356472.226128497

Reference life sub-module shares

Module	Share	Amount
Mortality	54.5%	€1.2M
Longevity	45.5%	€1.0M

Reference life correlation matrix

1.00-0.250.000.250.50

Reference life correlation matrix
	MORTMortality	LONGLongevity	DISDisability	EXPExpense	REVRevision	LAPLapse	CATLife Catastrophe
MORTMortality	1.00	-0.25	0.25	0.25	0.00	0.00	0.25
LONGLongevity	-0.25	1.00	0.00	0.25	0.25	0.25	0.00
DISDisability	0.25	0.00	1.00	0.50	0.00	0.00	0.25
EXPExpense	0.25	0.25	0.50	1.00	0.50	0.50	0.25
REVRevision	0.00	0.25	0.00	0.50	1.00	0.00	0.00
LAPLapse	0.00	0.25	0.00	0.50	0.00	1.00	0.25
CATLife Catastrophe	0.25	0.00	0.25	0.25	0.00	0.25	1.00

Reference health correlation build-up

Step	Delta	Running
NSLT	9	9
SLT	7	16
Health Catastrophe	4	20
Standalone Component Total	20	20
Correlation Adjustment	-4.475825303739976	15.524174696260024
Reference Health Underwriting Risk	15.524174696260024	15.524174696260024

Reference health sub-module shares

Module	Share	Amount
NSLT	45.0%	€9
SLT	35.0%	€7
Health Catastrophe	20.0%	€4

Reference health correlation matrix

1.000.250.50

Reference health correlation matrix
	NSLTNSLT	SLTSLT	CATHealth Catastrophe
NSLTNSLT	1.00	0.50	0.25
SLTSLT	0.50	1.00	0.25
CATHealth Catastrophe	0.25	0.25	1.00

Reference non-life correlation build-up

Step	Delta	Running
Premium and Reserve	1600000	1600000
Catastrophe	8	1600008
Lapse	5	1600013
Standalone Component Total	1600013	1600013
Correlation Adjustment	-10.999973437516019	1600002.0000265625
Reference Non-Life Underwriting Risk	1600002.0000265625	1600002.0000265625

Reference non-life sub-module shares

Module	Share	Amount
Premium and Reserve	100.0%	€1.6M

Reference non-life correlation matrix

1.000.000.25

Reference non-life correlation matrix
	PRPremium and Reserve	CATCatastrophe	LAPLapse
PRPremium and Reserve	1.00	0.25	0.00
CATCatastrophe	0.25	1.00	0.00
LAPLapse	0.00	0.00	1.00

1Step 1

Project transferred liability cash flows and discount net cash flows

\mathrm{NTP} = \sum_t \frac{\max(0,\; CF_t - RI_t)}{(1+r_t)^t}

2Step 2

Rebuild reference undertaking BSCR from module capital inputs

\mathrm{BSCR}_{ref} = \mathrm{CorrAgg}(Mkt,\;Def,\;Life,\;Health,\;NonLife) + Intangibles

3Step 3

Calculate operational risk from Article 204 premium and provision bases

\mathrm{OpRisk}_{ref} = \min(30\% \times \mathrm{BSCR}_{ref},\; \max(Op_{prem}, Op_{prov})) + 25\% \times Exp_{UL}

4Step 4

Resolve Article 38 reference undertaking SCR and required assets

\mathrm{SCR}_{ref} = \max(0,\; \mathrm{BSCR}_{ref} + \mathrm{OpRisk}_{ref} - \mathrm{LAC\ DT}_{ref})

Understand the Risk Margin Reference Undertaking SCR

Overview

This calculator implements Risk Margin Reference Undertaking SCR within the Solvency II framework.^[1]^[2] It is the standalone Article 38 upstream step that feeds `risk-margin-calculation` and can also feed `risk-margin-quarterly-derivation` updates.

Input Terms

Projection Years: Number of future years included in the transferred-portfolio cash-flow projection and the Article 37 SCR run-off.
Initial Risk-Free Rate: Starting point of the internally generated risk-free curve used to discount the transferred cash-flow ladder.
Ultimate Risk-Free Rate: Ultimate rate toward which the internally generated risk-free curve converges across the transferred cash-flow ladder.
Curve Convergence: Convergence speed of the internally generated risk-free curve: lower values move faster to the ultimate rate, higher values keep later points closer to the initial rate.
Reference Undertaking Interest Rate Risk: Interest-rate submodule charge of the transferred undertaking used to rebuild the Article 38 market-risk module internally.
Reference Undertaking Equity Risk: Equity submodule charge of the transferred undertaking used to rebuild the Article 38 market-risk module internally.
Reference Undertaking Property Risk: Property submodule charge of the transferred undertaking used to rebuild the Article 38 market-risk module internally.
Reference Undertaking Spread Risk: Spread submodule charge of the transferred undertaking used to rebuild the Article 38 market-risk module internally.
Reference Undertaking Currency Risk: Currency submodule charge of the transferred undertaking used to rebuild the Article 38 market-risk module internally.
Reference Undertaking Concentration Risk: Concentration submodule charge of the transferred undertaking used to rebuild the Article 38 market-risk module internally.
Reference Undertaking Counterparty Type 1 Risk: Type 1 counterparty-default charge of the transferred undertaking used to rebuild the Article 38 counterparty module internally.
Reference Undertaking Counterparty Type 2 Risk: Type 2 counterparty-default charge of the transferred undertaking used to rebuild the Article 38 counterparty module internally.
Reference Undertaking Life Mortality Risk: Life mortality submodule charge of the transferred undertaking used to rebuild the Article 38 life underwriting module internally.
Reference Undertaking Life Longevity Risk: Life longevity submodule charge of the transferred undertaking used to rebuild the Article 38 life underwriting module internally.
Reference Undertaking Life Disability-Morbidity Risk: Life disability-morbidity submodule charge of the transferred undertaking used to rebuild the Article 38 life underwriting module internally.
Reference Undertaking Life Expense Risk: Life expense submodule charge of the transferred undertaking used to rebuild the Article 38 life underwriting module internally.
Reference Undertaking Life Revision Risk: Life revision submodule charge of the transferred undertaking used to rebuild the Article 38 life underwriting module internally.
Reference Undertaking Life Lapse Risk: Life lapse submodule charge of the transferred undertaking used to rebuild the Article 38 life underwriting module internally.
Reference Undertaking Life Catastrophe Risk: Life catastrophe submodule charge of the transferred undertaking used to rebuild the Article 38 life underwriting module internally.
Reference Undertaking Health NSLT Risk: Health NSLT submodule charge of the transferred undertaking used to rebuild the Article 38 health underwriting module internally.
Reference Undertaking Health SLT Risk: Health SLT submodule charge of the transferred undertaking used to rebuild the Article 38 health underwriting module internally.
Reference Undertaking Health Catastrophe Risk: Health catastrophe submodule charge of the transferred undertaking used to rebuild the Article 38 health underwriting module internally.
Reference Undertaking Non-Life Premium and Reserve Risk: Non-life premium and reserve submodule charge of the transferred undertaking used to rebuild the Article 38 non-life underwriting module internally.
Reference Undertaking Non-Life Catastrophe Risk: Non-life catastrophe submodule charge of the transferred undertaking used to rebuild the Article 38 non-life underwriting module internally.
Reference Undertaking Non-Life Lapse Risk: Non-life lapse submodule charge of the transferred undertaking used to rebuild the Article 38 non-life underwriting module internally.
Reference Undertaking Intangible Asset Risk: Standalone intangible-asset capital carried into the Article 38 BSCR build alongside the internally rebuilt module totals.
Reference Undertaking Earned Life Premiums: Earned life premiums of the transferred portfolio used in the Article 204 operational-risk premium component within the Article 38 helper.
Reference Undertaking Earned Life UL Premiums: Earned unit-linked life premiums used in the Article 204 operational-risk premium component within the Article 38 helper.
Reference Undertaking Earned Non-Life Premiums: Earned non-life premiums used in the Article 204 operational-risk premium component within the Article 38 helper.
Reference Undertaking Prior-Year Earned Life Premiums: Prior-period earned life premiums used in the Article 204 growth test within the Article 38 helper.
Reference Undertaking Prior-Year Earned Life UL Premiums: Prior-period earned unit-linked life premiums used in the Article 204 growth test within the Article 38 helper.
Reference Undertaking Prior-Year Earned Non-Life Premiums: Prior-period earned non-life premiums used in the Article 204 growth test within the Article 38 helper.
Reference Undertaking Life Technical Provisions: Life technical provisions of the transferred portfolio used in the Article 204 provision component within the Article 38 helper.
Reference Undertaking Life UL Technical Provisions: Unit-linked life technical provisions excluded from the non-unit-linked Article 204 provision component within the Article 38 helper.
Reference Undertaking Non-Life Technical Provisions: Non-life technical provisions used in the Article 204 provision component within the Article 38 helper.
Reference Undertaking Unit-Linked Expenses: Unit-linked expenses added separately in the Article 204 operational-risk formula inside the Article 38 helper.
Liability Cash Outflow_{i}: Liability cash outflow projected for year i of the transferred portfolio before reinsurance and SPV recoveries.
Reinsurance or SPV Recovery_{i}: Reinsurance or SPV recovery projected for year i; deducted from liability cash outflows to derive the residual transferred obligation.

Technical Rationale

The reference-undertaking build exists because risk margin is about transfer cost, not about the undertaking's own entity-specific structure. It reconstructs the capital that a notional transferee would need to support the obligations on a stand-alone basis, which is the economic burden the risk margin is trying to price.

The calculator keeps the Article 38 reconstruction as its own atomistic calculator and exposes the required-assets bridge without adding generic benchmark controls or a bundled full-build sheet.

Important Notes

Result use: Review Reference Undertaking SCR together with the visible inputs and the calculation steps before relying on it.
Data quality: Reconcile the page inputs to the controlled model, valuation, or reporting source that supports this view.
Reference Undertaking SCR: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
Reference Undertaking Required Assets: Review this value as the Article 38 bridge from net technical provisions and reference-undertaking SCR.
Reference Undertaking LAC DT: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
Year 1 Derived Risk-Free Rate: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
Year 2 Derived Risk-Free Rate: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
Reconcile Projection Years, Initial Risk-Free Rate, Ultimate Risk-Free Rate, and Curve Convergence to controlled source data before relying on the result.
Check that Reference Undertaking SCR moves in the expected direction when you stress the main drivers.
Preserve the calculation trail so reviewers can trace each value back to a source, assumption, or prior module result.

Sources

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.