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Risk Margin Quarterly Derivation

Calculate the Documented Quarterly Risk Margin instantly.

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Documented Quarterly RM

€31 288 889

1Step 1

Article 59 Conditions Met

Article 59 Conditions Met=min⁡(Quarterly Calculation Required (0/1),Earlier RM Calculation Available (0/1))\textit{Article 59 Conditions Met} = \min(\textit{Quarterly Calculation Required (0/1)}, \textit{Earlier RM Calculation Available (0/1)})
2Step 2

Technical-Provisions Run-Off Ratio

Technical-Provisions Run-Off Ratio=Current Net TPEarlier Net TP\textit{Technical-Provisions Run-Off Ratio} = \frac{\textit{Current Net TP}}{\textit{Earlier Net TP}}
3Step 3

Reference Undertaking SCR Ratio

Reference Undertaking SCR Ratio=Current Reference Undertaking SCREarlier Reference Undertaking SCR\textit{Reference Undertaking SCR Ratio} = \frac{\textit{Current Reference Undertaking SCR}}{\textit{Earlier Reference Undertaking SCR}}
4Step 4

Elapsed Quarter Ratio

Elapsed Quarter Ratio=Elapsed Quarters Since Earlier Full Calculation4\textit{Elapsed Quarter Ratio} = \frac{\textit{Elapsed Quarters Since Earlier Full Calculation}}{4}
5Step 5

TP-Scaled Quarterly RM

TP-Scaled Quarterly RM=Earlier RM×Technical-Provisions Run-Off Ratio\textit{TP-Scaled Quarterly RM} = \textit{Earlier RM} \times \textit{Technical-Provisions Run-Off Ratio}
6Step 6

SCR-Scaled Quarterly RM

SCR-Scaled Quarterly RM=Earlier RM×Reference Undertaking SCR Ratio\textit{SCR-Scaled Quarterly RM} = \textit{Earlier RM} \times \textit{Reference Undertaking SCR Ratio}
7Step 7

Linear Carry-Forward RM

Linear Carry-Forward RM=Earlier RM×1−Elapsed Quarter Ratio×1−Technical-Provisions Run-Off Ratio\textit{Linear Carry-Forward RM} = \textit{Earlier RM} \times 1 - \textit{Elapsed Quarter Ratio} \times 1 - \textit{Technical-Provisions Run-Off Ratio}
8Step 8

Derived Quarterly RM

Derived Quarterly RM={TP-Scaled Quarterly RMif Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear)=1SCR-Scaled Quarterly RMif Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear)=2Linear Carry-Forward RMif Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear)=3\textit{Derived Quarterly RM} = \begin{cases} \textit{TP-Scaled Quarterly RM} & \text{if } \textit{Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear)} = 1 \\ \textit{SCR-Scaled Quarterly RM} & \text{if } \textit{Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear)} = 2 \\ \textit{Linear Carry-Forward RM} & \text{if } \textit{Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear)} = 3 \end{cases}
9Step 9

Quarterly Change vs Earlier RM

Quarterly Change vs Earlier RM=Derived Quarterly RM−Earlier RM\textit{Quarterly Change vs Earlier RM} = \textit{Derived Quarterly RM} - \textit{Earlier RM}
10Step 10

Quarterly Change Ratio

Quarterly Change Ratio=Quarterly Change vs Earlier RMEarlier RM\textit{Quarterly Change Ratio} = \frac{\textit{Quarterly Change vs Earlier RM}}{\textit{Earlier RM}}

Understand the Risk Margin Quarterly Derivation

Overview

This calculator implements Risk Margin Quarterly Derivation within the Solvency II framework. Article 59 quarterly carry-forward helper using selectable TP-scaled, SCR-scaled, or linear carry-forward derivations from an earlier full risk-margin calculation.

Input Terms

  • Quarterly Calculation Required (0/1): Set to 1 when a quarterly Article 59 carry-forward is needed and to 0 otherwise.
  • Earlier Risk Margin Calculation Available (0/1): Set to 1 when an earlier full risk-margin calculation is available as the carry-forward anchor.
  • Earlier Risk Margin: Risk margin from the earlier full calculation used as the starting point for the quarterly derivation.
  • Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear): Method selector: 1 scales by net technical provisions, 2 scales by reference-undertaking SCR, and 3 applies the linear carry-forward.
  • Earlier Net Technical Provisions: Net technical provisions at the earlier full-calculation date.
  • Current Net Technical Provisions: Net technical provisions at the current quarterly date.
  • Earlier Reference Undertaking SCR: Reference-undertaking SCR from the earlier full calculation.
  • Current Reference Undertaking SCR: Updated reference-undertaking SCR used for the current quarter.
  • Elapsed Quarters Since Earlier Full Calculation: Number of quarters elapsed since the earlier full risk-margin run.

Technical Rationale

Quarterly derivation keeps the latest full risk-margin calculation as the anchor and then updates it for observable run-off in liabilities or supporting capital. The intent is proportionality: risk margin should decline as the transferred obligation runs off, but firms should not need to rebuild the full reference undertaking every quarter when a controlled carry-forward remains representative.

Important Notes

  • Result use: Review Documented Quarterly Risk Margin 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.
  • Documented Quarterly Risk Margin: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
  • Article 59 Conditions Met: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
  • Technical-Provisions Run-Off Ratio: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
  • Reference Undertaking SCR Ratio: Review this value as part of the final calculator output and reconcile it to the supporting inputs and formula steps.
  • Reconcile Quarterly Calculation Required (0/1), Earlier Risk Margin Calculation Available (0/1), Earlier Risk Margin, and Quarterly Derivation Method (1=TP, 2=SCR, 3=Linear) to controlled source data before relying on the result.
  • Check that Documented Quarterly Risk Margin 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.

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.