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Risk Margin Reference Undertaking SCR

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Reference Undertaking SCR

€6 582 238

Reference Undertaking LACDT

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1Step 1

Reference Undertaking LACDT

Reference Undertaking LACDT=0\textit{Reference Undertaking LACDT} = 0
2Step 2

Reference Undertaking BSCR

Reference Undertaking BSCR=∑i,jCorri,j×SCRi×SCRj+SCRintangibles\textit{Reference Undertaking BSCR} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j} + SCR_{intangibles}
3Step 3

Reference Undertaking Market Risk

Reference Undertaking Market Risk=∑i,jCorri,j×SCRi×SCRj\textit{Reference Undertaking Market Risk} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j}
4Step 4

Reference Undertaking Counterparty Default Risk

Reference Undertaking Counterparty Default Risk=SCRdef,12+1.5×SCRdef,1×SCRdef,2+SCRdef,22\textit{Reference Undertaking Counterparty Default Risk} = \sqrt{SCR_{def,1}^2 + 1.5 \times SCR_{def,1} \times SCR_{def,2} + SCR_{def,2}^2}
5Step 5

Reference Undertaking Life Underwriting Risk

Reference Undertaking Life Underwriting Risk=∑i,jCorri,j×SCRi×SCRj\textit{Reference Undertaking Life Underwriting Risk} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j}
6Step 6

Reference Undertaking Non-Life Underwriting Risk

Reference Undertaking Non-Life Underwriting Risk=∑i,jCorri,j×SCRi×SCRj\textit{Reference Undertaking Non-Life Underwriting Risk} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j}
7Step 7

Reference Undertaking Health Underwriting Risk

Reference Undertaking Health Underwriting Risk=∑i,jCorri,j×SCRi×SCRj\textit{Reference Undertaking Health Underwriting Risk} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j}
8Step 8

Reference Undertaking Operational-Risk Premium Component

Reference Undertaking Operational-Risk Premium Component=Reference Undertaking Earned Life Premiums−Reference Undertaking Earned Life UL Premiums×0.04+Reference Undertaking Earned Non-Life Premiums×0.03+max⁡(0,Reference Undertaking Earned Life Premiums−Reference Undertaking Prior-Year Earned Life Premiums×1.2−Reference Undertaking Earned Life UL Premiums−Reference Undertaking Prior-Year Earned Life UL Premiums×1.2×0.04)+max⁡(0,Reference Undertaking Earned Non-Life Premiums−Reference Undertaking Prior-Year Earned Non-Life Premiums×1.2×0.03)\textit{Reference Undertaking Operational-Risk Premium Component} = \textit{Reference Undertaking Earned Life Premiums} - \textit{Reference Undertaking Earned Life UL Premiums} \times 0.04 + \textit{Reference Undertaking Earned Non-Life Premiums} \times 0.03 + \max(0, \textit{Reference Undertaking Earned Life Premiums} - \textit{Reference Undertaking Prior-Year Earned Life Premiums} \times 1.2 - \textit{Reference Undertaking Earned Life UL Premiums} - \textit{Reference Undertaking Prior-Year Earned Life UL Premiums} \times 1.2 \times 0.04) + \max(0, \textit{Reference Undertaking Earned Non-Life Premiums} - \textit{Reference Undertaking Prior-Year Earned Non-Life Premiums} \times 1.2 \times 0.03)
9Step 9

Reference Undertaking Operational-Risk Provision Component

Reference Undertaking Operational-Risk Provision Component=max⁡(0,Reference Undertaking Life TP−Reference Undertaking Life UL TP)×0.0045+max⁡(0,Reference Undertaking Non-Life TP)×0.03\textit{Reference Undertaking Operational-Risk Provision Component} = \max(0, \textit{Reference Undertaking Life TP} - \textit{Reference Undertaking Life UL TP}) \times 0.0045 + \max(0, \textit{Reference Undertaking Non-Life TP}) \times 0.03
10Step 10

Reference Undertaking Operational-Risk Base

Reference Undertaking Operational-Risk Base=max⁡(Reference Undertaking Operational-Risk Premium Component,Reference Undertaking Operational-Risk Provision Component)\textit{Reference Undertaking Operational-Risk Base} = \max(\textit{Reference Undertaking Operational-Risk Premium Component}, \textit{Reference Undertaking Operational-Risk Provision Component})
11Step 11

Reference Undertaking Operational Risk

Reference Undertaking Operational Risk=min⁡(Reference Undertaking BSCR×0.3,Reference Undertaking Operational-Risk Base)+Reference Undertaking Unit-Linked Expenses×0.25\textit{Reference Undertaking Operational Risk} = \min(\textit{Reference Undertaking BSCR} \times 0.3, \textit{Reference Undertaking Operational-Risk Base}) + \textit{Reference Undertaking Unit-Linked Expenses} \times 0.25
12Step 12

Year 1 Derived Risk-Free Rate

Year 1 Derived Risk-Free Rate=gte⁡(Projection Years,1)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence0\textit{Year 1 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 1\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{0}
13Step 13

Year 1 Net Liability Cash Flow

Year 1 Net Liability Cash Flow=gte⁡(Projection Years,1)×max⁡(0,Liability Cash Outflow1−Reinsurance or SPV Recovery1)\textit{Year 1 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 1\right) \times \max(0, \textit{Liability Cash Outflow}_{1} - \textit{Reinsurance or SPV Recovery}_{1})
14Step 14

Year 1 Selected Low-Risk Asset Cash Flow

Year 1 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,1)×max⁡(0,Liability Cash Outflow1−Reinsurance or SPV Recovery1)\textit{Year 1 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 1\right) \times \max(0, \textit{Liability Cash Outflow}_{1} - \textit{Reinsurance or SPV Recovery}_{1})
15Step 15

Year 1 Discounted Net Liability Cash Flow

Year 1 Discounted Net Liability Cash Flow=Net Liability Cash Flow11+Derived Risk-Free Rate11\textit{Year 1 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{1}}{{1 + \textit{Derived Risk-Free Rate}_{1}}^{1}}
16Step 16

Year 2 Derived Risk-Free Rate

Year 2 Derived Risk-Free Rate=gte⁡(Projection Years,2)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence1\textit{Year 2 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 2\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{1}
17Step 17

Year 2 Net Liability Cash Flow

Year 2 Net Liability Cash Flow=gte⁡(Projection Years,2)×max⁡(0,Liability Cash Outflow2−Reinsurance or SPV Recovery2)\textit{Year 2 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 2\right) \times \max(0, \textit{Liability Cash Outflow}_{2} - \textit{Reinsurance or SPV Recovery}_{2})
18Step 18

Year 2 Selected Low-Risk Asset Cash Flow

Year 2 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,2)×max⁡(0,Liability Cash Outflow2−Reinsurance or SPV Recovery2)\textit{Year 2 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 2\right) \times \max(0, \textit{Liability Cash Outflow}_{2} - \textit{Reinsurance or SPV Recovery}_{2})
19Step 19

Year 2 Discounted Net Liability Cash Flow

Year 2 Discounted Net Liability Cash Flow=Net Liability Cash Flow21+Derived Risk-Free Rate22\textit{Year 2 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{2}}{{1 + \textit{Derived Risk-Free Rate}_{2}}^{2}}
20Step 20

Year 3 Derived Risk-Free Rate

Year 3 Derived Risk-Free Rate=gte⁡(Projection Years,3)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence2\textit{Year 3 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 3\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{2}
21Step 21

Year 3 Net Liability Cash Flow

Year 3 Net Liability Cash Flow=gte⁡(Projection Years,3)×max⁡(0,Liability Cash Outflow3−Reinsurance or SPV Recovery3)\textit{Year 3 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 3\right) \times \max(0, \textit{Liability Cash Outflow}_{3} - \textit{Reinsurance or SPV Recovery}_{3})
22Step 22

Year 3 Selected Low-Risk Asset Cash Flow

Year 3 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,3)×max⁡(0,Liability Cash Outflow3−Reinsurance or SPV Recovery3)\textit{Year 3 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 3\right) \times \max(0, \textit{Liability Cash Outflow}_{3} - \textit{Reinsurance or SPV Recovery}_{3})
23Step 23

Year 3 Discounted Net Liability Cash Flow

Year 3 Discounted Net Liability Cash Flow=Net Liability Cash Flow31+Derived Risk-Free Rate33\textit{Year 3 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{3}}{{1 + \textit{Derived Risk-Free Rate}_{3}}^{3}}
24Step 24

Year 4 Derived Risk-Free Rate

Year 4 Derived Risk-Free Rate=gte⁡(Projection Years,4)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence3\textit{Year 4 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 4\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{3}
25Step 25

Year 4 Net Liability Cash Flow

Year 4 Net Liability Cash Flow=gte⁡(Projection Years,4)×max⁡(0,Liability Cash Outflow4−Reinsurance or SPV Recovery4)\textit{Year 4 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 4\right) \times \max(0, \textit{Liability Cash Outflow}_{4} - \textit{Reinsurance or SPV Recovery}_{4})
26Step 26

Year 4 Selected Low-Risk Asset Cash Flow

Year 4 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,4)×max⁡(0,Liability Cash Outflow4−Reinsurance or SPV Recovery4)\textit{Year 4 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 4\right) \times \max(0, \textit{Liability Cash Outflow}_{4} - \textit{Reinsurance or SPV Recovery}_{4})
27Step 27

Year 4 Discounted Net Liability Cash Flow

Year 4 Discounted Net Liability Cash Flow=Net Liability Cash Flow41+Derived Risk-Free Rate44\textit{Year 4 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{4}}{{1 + \textit{Derived Risk-Free Rate}_{4}}^{4}}
28Step 28

Year 5 Derived Risk-Free Rate

Year 5 Derived Risk-Free Rate=gte⁡(Projection Years,5)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence4\textit{Year 5 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 5\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{4}
29Step 29

Year 5 Net Liability Cash Flow

Year 5 Net Liability Cash Flow=gte⁡(Projection Years,5)×max⁡(0,Liability Cash Outflow5−Reinsurance or SPV Recovery5)\textit{Year 5 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 5\right) \times \max(0, \textit{Liability Cash Outflow}_{5} - \textit{Reinsurance or SPV Recovery}_{5})
30Step 30

Year 5 Selected Low-Risk Asset Cash Flow

Year 5 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,5)×max⁡(0,Liability Cash Outflow5−Reinsurance or SPV Recovery5)\textit{Year 5 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 5\right) \times \max(0, \textit{Liability Cash Outflow}_{5} - \textit{Reinsurance or SPV Recovery}_{5})
31Step 31

Year 5 Discounted Net Liability Cash Flow

Year 5 Discounted Net Liability Cash Flow=Net Liability Cash Flow51+Derived Risk-Free Rate55\textit{Year 5 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{5}}{{1 + \textit{Derived Risk-Free Rate}_{5}}^{5}}
32Step 32

Year 6 Derived Risk-Free Rate

Year 6 Derived Risk-Free Rate=gte⁡(Projection Years,6)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence5\textit{Year 6 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 6\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{5}
33Step 33

Year 6 Net Liability Cash Flow

Year 6 Net Liability Cash Flow=gte⁡(Projection Years,6)×max⁡(0,Liability Cash Outflow6−Reinsurance or SPV Recovery6)\textit{Year 6 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 6\right) \times \max(0, \textit{Liability Cash Outflow}_{6} - \textit{Reinsurance or SPV Recovery}_{6})
34Step 34

Year 6 Selected Low-Risk Asset Cash Flow

Year 6 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,6)×max⁡(0,Liability Cash Outflow6−Reinsurance or SPV Recovery6)\textit{Year 6 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 6\right) \times \max(0, \textit{Liability Cash Outflow}_{6} - \textit{Reinsurance or SPV Recovery}_{6})
35Step 35

Year 6 Discounted Net Liability Cash Flow

Year 6 Discounted Net Liability Cash Flow=Net Liability Cash Flow61+Derived Risk-Free Rate66\textit{Year 6 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{6}}{{1 + \textit{Derived Risk-Free Rate}_{6}}^{6}}
36Step 36

Year 7 Derived Risk-Free Rate

Year 7 Derived Risk-Free Rate=gte⁡(Projection Years,7)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence6\textit{Year 7 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 7\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{6}
37Step 37

Year 7 Net Liability Cash Flow

Year 7 Net Liability Cash Flow=gte⁡(Projection Years,7)×max⁡(0,Liability Cash Outflow7−Reinsurance or SPV Recovery7)\textit{Year 7 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 7\right) \times \max(0, \textit{Liability Cash Outflow}_{7} - \textit{Reinsurance or SPV Recovery}_{7})
38Step 38

Year 7 Selected Low-Risk Asset Cash Flow

Year 7 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,7)×max⁡(0,Liability Cash Outflow7−Reinsurance or SPV Recovery7)\textit{Year 7 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 7\right) \times \max(0, \textit{Liability Cash Outflow}_{7} - \textit{Reinsurance or SPV Recovery}_{7})
39Step 39

Year 7 Discounted Net Liability Cash Flow

Year 7 Discounted Net Liability Cash Flow=Net Liability Cash Flow71+Derived Risk-Free Rate77\textit{Year 7 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{7}}{{1 + \textit{Derived Risk-Free Rate}_{7}}^{7}}
40Step 40

Year 8 Derived Risk-Free Rate

Year 8 Derived Risk-Free Rate=gte⁡(Projection Years,8)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence7\textit{Year 8 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 8\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{7}
41Step 41

Year 8 Net Liability Cash Flow

Year 8 Net Liability Cash Flow=gte⁡(Projection Years,8)×max⁡(0,Liability Cash Outflow8−Reinsurance or SPV Recovery8)\textit{Year 8 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 8\right) \times \max(0, \textit{Liability Cash Outflow}_{8} - \textit{Reinsurance or SPV Recovery}_{8})
42Step 42

Year 8 Selected Low-Risk Asset Cash Flow

Year 8 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,8)×max⁡(0,Liability Cash Outflow8−Reinsurance or SPV Recovery8)\textit{Year 8 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 8\right) \times \max(0, \textit{Liability Cash Outflow}_{8} - \textit{Reinsurance or SPV Recovery}_{8})
43Step 43

Year 8 Discounted Net Liability Cash Flow

Year 8 Discounted Net Liability Cash Flow=Net Liability Cash Flow81+Derived Risk-Free Rate88\textit{Year 8 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{8}}{{1 + \textit{Derived Risk-Free Rate}_{8}}^{8}}
44Step 44

Year 9 Derived Risk-Free Rate

Year 9 Derived Risk-Free Rate=gte⁡(Projection Years,9)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence8\textit{Year 9 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 9\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{8}
45Step 45

Year 9 Net Liability Cash Flow

Year 9 Net Liability Cash Flow=gte⁡(Projection Years,9)×max⁡(0,Liability Cash Outflow9−Reinsurance or SPV Recovery9)\textit{Year 9 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 9\right) \times \max(0, \textit{Liability Cash Outflow}_{9} - \textit{Reinsurance or SPV Recovery}_{9})
46Step 46

Year 9 Selected Low-Risk Asset Cash Flow

Year 9 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,9)×max⁡(0,Liability Cash Outflow9−Reinsurance or SPV Recovery9)\textit{Year 9 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 9\right) \times \max(0, \textit{Liability Cash Outflow}_{9} - \textit{Reinsurance or SPV Recovery}_{9})
47Step 47

Year 9 Discounted Net Liability Cash Flow

Year 9 Discounted Net Liability Cash Flow=Net Liability Cash Flow91+Derived Risk-Free Rate99\textit{Year 9 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{9}}{{1 + \textit{Derived Risk-Free Rate}_{9}}^{9}}
48Step 48

Year 10 Derived Risk-Free Rate

Year 10 Derived Risk-Free Rate=gte⁡(Projection Years,10)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence9\textit{Year 10 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 10\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{9}
49Step 49

Year 10 Net Liability Cash Flow

Year 10 Net Liability Cash Flow=gte⁡(Projection Years,10)×max⁡(0,Liability Cash Outflow10−Reinsurance or SPV Recovery10)\textit{Year 10 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 10\right) \times \max(0, \textit{Liability Cash Outflow}_{10} - \textit{Reinsurance or SPV Recovery}_{10})
50Step 50

Year 10 Selected Low-Risk Asset Cash Flow

Year 10 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,10)×max⁡(0,Liability Cash Outflow10−Reinsurance or SPV Recovery10)\textit{Year 10 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 10\right) \times \max(0, \textit{Liability Cash Outflow}_{10} - \textit{Reinsurance or SPV Recovery}_{10})
51Step 51

Year 10 Discounted Net Liability Cash Flow

Year 10 Discounted Net Liability Cash Flow=Net Liability Cash Flow101+Derived Risk-Free Rate1010\textit{Year 10 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{10}}{{1 + \textit{Derived Risk-Free Rate}_{10}}^{10}}
52Step 52

Year 11 Derived Risk-Free Rate

Year 11 Derived Risk-Free Rate=gte⁡(Projection Years,11)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence10\textit{Year 11 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 11\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{10}
53Step 53

Year 11 Net Liability Cash Flow

Year 11 Net Liability Cash Flow=gte⁡(Projection Years,11)×max⁡(0,Liability Cash Outflow11−Reinsurance or SPV Recovery11)\textit{Year 11 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 11\right) \times \max(0, \textit{Liability Cash Outflow}_{11} - \textit{Reinsurance or SPV Recovery}_{11})
54Step 54

Year 11 Selected Low-Risk Asset Cash Flow

Year 11 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,11)×max⁡(0,Liability Cash Outflow11−Reinsurance or SPV Recovery11)\textit{Year 11 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 11\right) \times \max(0, \textit{Liability Cash Outflow}_{11} - \textit{Reinsurance or SPV Recovery}_{11})
55Step 55

Year 11 Discounted Net Liability Cash Flow

Year 11 Discounted Net Liability Cash Flow=Net Liability Cash Flow111+Derived Risk-Free Rate1111\textit{Year 11 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{11}}{{1 + \textit{Derived Risk-Free Rate}_{11}}^{11}}
56Step 56

Year 12 Derived Risk-Free Rate

Year 12 Derived Risk-Free Rate=gte⁡(Projection Years,12)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence11\textit{Year 12 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 12\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{11}
57Step 57

Year 12 Net Liability Cash Flow

Year 12 Net Liability Cash Flow=gte⁡(Projection Years,12)×max⁡(0,Liability Cash Outflow12−Reinsurance or SPV Recovery12)\textit{Year 12 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 12\right) \times \max(0, \textit{Liability Cash Outflow}_{12} - \textit{Reinsurance or SPV Recovery}_{12})
58Step 58

Year 12 Selected Low-Risk Asset Cash Flow

Year 12 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,12)×max⁡(0,Liability Cash Outflow12−Reinsurance or SPV Recovery12)\textit{Year 12 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 12\right) \times \max(0, \textit{Liability Cash Outflow}_{12} - \textit{Reinsurance or SPV Recovery}_{12})
59Step 59

Year 12 Discounted Net Liability Cash Flow

Year 12 Discounted Net Liability Cash Flow=Net Liability Cash Flow121+Derived Risk-Free Rate1212\textit{Year 12 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{12}}{{1 + \textit{Derived Risk-Free Rate}_{12}}^{12}}
60Step 60

Year 13 Derived Risk-Free Rate

Year 13 Derived Risk-Free Rate=gte⁡(Projection Years,13)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence12\textit{Year 13 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 13\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{12}
61Step 61

Year 13 Net Liability Cash Flow

Year 13 Net Liability Cash Flow=gte⁡(Projection Years,13)×max⁡(0,Liability Cash Outflow13−Reinsurance or SPV Recovery13)\textit{Year 13 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 13\right) \times \max(0, \textit{Liability Cash Outflow}_{13} - \textit{Reinsurance or SPV Recovery}_{13})
62Step 62

Year 13 Selected Low-Risk Asset Cash Flow

Year 13 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,13)×max⁡(0,Liability Cash Outflow13−Reinsurance or SPV Recovery13)\textit{Year 13 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 13\right) \times \max(0, \textit{Liability Cash Outflow}_{13} - \textit{Reinsurance or SPV Recovery}_{13})
63Step 63

Year 13 Discounted Net Liability Cash Flow

Year 13 Discounted Net Liability Cash Flow=Net Liability Cash Flow131+Derived Risk-Free Rate1313\textit{Year 13 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{13}}{{1 + \textit{Derived Risk-Free Rate}_{13}}^{13}}
64Step 64

Year 14 Derived Risk-Free Rate

Year 14 Derived Risk-Free Rate=gte⁡(Projection Years,14)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence13\textit{Year 14 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 14\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{13}
65Step 65

Year 14 Net Liability Cash Flow

Year 14 Net Liability Cash Flow=gte⁡(Projection Years,14)×max⁡(0,Liability Cash Outflow14−Reinsurance or SPV Recovery14)\textit{Year 14 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 14\right) \times \max(0, \textit{Liability Cash Outflow}_{14} - \textit{Reinsurance or SPV Recovery}_{14})
66Step 66

Year 14 Selected Low-Risk Asset Cash Flow

Year 14 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,14)×max⁡(0,Liability Cash Outflow14−Reinsurance or SPV Recovery14)\textit{Year 14 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 14\right) \times \max(0, \textit{Liability Cash Outflow}_{14} - \textit{Reinsurance or SPV Recovery}_{14})
67Step 67

Year 14 Discounted Net Liability Cash Flow

Year 14 Discounted Net Liability Cash Flow=Net Liability Cash Flow141+Derived Risk-Free Rate1414\textit{Year 14 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{14}}{{1 + \textit{Derived Risk-Free Rate}_{14}}^{14}}
68Step 68

Year 15 Derived Risk-Free Rate

Year 15 Derived Risk-Free Rate=gte⁡(Projection Years,15)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence14\textit{Year 15 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 15\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{14}
69Step 69

Year 15 Net Liability Cash Flow

Year 15 Net Liability Cash Flow=gte⁡(Projection Years,15)×max⁡(0,Liability Cash Outflow15−Reinsurance or SPV Recovery15)\textit{Year 15 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 15\right) \times \max(0, \textit{Liability Cash Outflow}_{15} - \textit{Reinsurance or SPV Recovery}_{15})
70Step 70

Year 15 Selected Low-Risk Asset Cash Flow

Year 15 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,15)×max⁡(0,Liability Cash Outflow15−Reinsurance or SPV Recovery15)\textit{Year 15 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 15\right) \times \max(0, \textit{Liability Cash Outflow}_{15} - \textit{Reinsurance or SPV Recovery}_{15})
71Step 71

Year 15 Discounted Net Liability Cash Flow

Year 15 Discounted Net Liability Cash Flow=Net Liability Cash Flow151+Derived Risk-Free Rate1515\textit{Year 15 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{15}}{{1 + \textit{Derived Risk-Free Rate}_{15}}^{15}}
72Step 72

Year 16 Derived Risk-Free Rate

Year 16 Derived Risk-Free Rate=gte⁡(Projection Years,16)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence15\textit{Year 16 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 16\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{15}
73Step 73

Year 16 Net Liability Cash Flow

Year 16 Net Liability Cash Flow=gte⁡(Projection Years,16)×max⁡(0,Liability Cash Outflow16−Reinsurance or SPV Recovery16)\textit{Year 16 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 16\right) \times \max(0, \textit{Liability Cash Outflow}_{16} - \textit{Reinsurance or SPV Recovery}_{16})
74Step 74

Year 16 Selected Low-Risk Asset Cash Flow

Year 16 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,16)×max⁡(0,Liability Cash Outflow16−Reinsurance or SPV Recovery16)\textit{Year 16 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 16\right) \times \max(0, \textit{Liability Cash Outflow}_{16} - \textit{Reinsurance or SPV Recovery}_{16})
75Step 75

Year 16 Discounted Net Liability Cash Flow

Year 16 Discounted Net Liability Cash Flow=Net Liability Cash Flow161+Derived Risk-Free Rate1616\textit{Year 16 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{16}}{{1 + \textit{Derived Risk-Free Rate}_{16}}^{16}}
76Step 76

Year 17 Derived Risk-Free Rate

Year 17 Derived Risk-Free Rate=gte⁡(Projection Years,17)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence16\textit{Year 17 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 17\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{16}
77Step 77

Year 17 Net Liability Cash Flow

Year 17 Net Liability Cash Flow=gte⁡(Projection Years,17)×max⁡(0,Liability Cash Outflow17−Reinsurance or SPV Recovery17)\textit{Year 17 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 17\right) \times \max(0, \textit{Liability Cash Outflow}_{17} - \textit{Reinsurance or SPV Recovery}_{17})
78Step 78

Year 17 Selected Low-Risk Asset Cash Flow

Year 17 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,17)×max⁡(0,Liability Cash Outflow17−Reinsurance or SPV Recovery17)\textit{Year 17 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 17\right) \times \max(0, \textit{Liability Cash Outflow}_{17} - \textit{Reinsurance or SPV Recovery}_{17})
79Step 79

Year 17 Discounted Net Liability Cash Flow

Year 17 Discounted Net Liability Cash Flow=Net Liability Cash Flow171+Derived Risk-Free Rate1717\textit{Year 17 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{17}}{{1 + \textit{Derived Risk-Free Rate}_{17}}^{17}}
80Step 80

Year 18 Derived Risk-Free Rate

Year 18 Derived Risk-Free Rate=gte⁡(Projection Years,18)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence17\textit{Year 18 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 18\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{17}
81Step 81

Year 18 Net Liability Cash Flow

Year 18 Net Liability Cash Flow=gte⁡(Projection Years,18)×max⁡(0,Liability Cash Outflow18−Reinsurance or SPV Recovery18)\textit{Year 18 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 18\right) \times \max(0, \textit{Liability Cash Outflow}_{18} - \textit{Reinsurance or SPV Recovery}_{18})
82Step 82

Year 18 Selected Low-Risk Asset Cash Flow

Year 18 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,18)×max⁡(0,Liability Cash Outflow18−Reinsurance or SPV Recovery18)\textit{Year 18 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 18\right) \times \max(0, \textit{Liability Cash Outflow}_{18} - \textit{Reinsurance or SPV Recovery}_{18})
83Step 83

Year 18 Discounted Net Liability Cash Flow

Year 18 Discounted Net Liability Cash Flow=Net Liability Cash Flow181+Derived Risk-Free Rate1818\textit{Year 18 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{18}}{{1 + \textit{Derived Risk-Free Rate}_{18}}^{18}}
84Step 84

Year 19 Derived Risk-Free Rate

Year 19 Derived Risk-Free Rate=gte⁡(Projection Years,19)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence18\textit{Year 19 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 19\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{18}
85Step 85

Year 19 Net Liability Cash Flow

Year 19 Net Liability Cash Flow=gte⁡(Projection Years,19)×max⁡(0,Liability Cash Outflow19−Reinsurance or SPV Recovery19)\textit{Year 19 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 19\right) \times \max(0, \textit{Liability Cash Outflow}_{19} - \textit{Reinsurance or SPV Recovery}_{19})
86Step 86

Year 19 Selected Low-Risk Asset Cash Flow

Year 19 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,19)×max⁡(0,Liability Cash Outflow19−Reinsurance or SPV Recovery19)\textit{Year 19 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 19\right) \times \max(0, \textit{Liability Cash Outflow}_{19} - \textit{Reinsurance or SPV Recovery}_{19})
87Step 87

Year 19 Discounted Net Liability Cash Flow

Year 19 Discounted Net Liability Cash Flow=Net Liability Cash Flow191+Derived Risk-Free Rate1919\textit{Year 19 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{19}}{{1 + \textit{Derived Risk-Free Rate}_{19}}^{19}}
88Step 88

Year 20 Derived Risk-Free Rate

Year 20 Derived Risk-Free Rate=gte⁡(Projection Years,20)×Ultimate Risk-Free Rate+Initial Risk-Free Rate−Ultimate Risk-Free Rate×Curve Convergence19\textit{Year 20 Derived Risk-Free Rate} = \operatorname{gte}\left(\textit{Projection Years}, 20\right) \times \textit{Ultimate Risk-Free Rate} + \textit{Initial Risk-Free Rate} - \textit{Ultimate Risk-Free Rate} \times {\textit{Curve Convergence}}^{19}
89Step 89

Year 20 Net Liability Cash Flow

Year 20 Net Liability Cash Flow=gte⁡(Projection Years,20)×max⁡(0,Liability Cash Outflow20−Reinsurance or SPV Recovery20)\textit{Year 20 Net Liability Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 20\right) \times \max(0, \textit{Liability Cash Outflow}_{20} - \textit{Reinsurance or SPV Recovery}_{20})
90Step 90

Year 20 Selected Low-Risk Asset Cash Flow

Year 20 Selected Low-Risk Asset Cash Flow=gte⁡(Projection Years,20)×max⁡(0,Liability Cash Outflow20−Reinsurance or SPV Recovery20)\textit{Year 20 Selected Low-Risk Asset Cash Flow} = \operatorname{gte}\left(\textit{Projection Years}, 20\right) \times \max(0, \textit{Liability Cash Outflow}_{20} - \textit{Reinsurance or SPV Recovery}_{20})
91Step 91

Year 20 Discounted Net Liability Cash Flow

Year 20 Discounted Net Liability Cash Flow=Net Liability Cash Flow201+Derived Risk-Free Rate2020\textit{Year 20 Discounted Net Liability Cash Flow} = \frac{\textit{Net Liability Cash Flow}_{20}}{{1 + \textit{Derived Risk-Free Rate}_{20}}^{20}}
92Step 92

Reference Undertaking Net TP

Reference Undertaking Net TP=∑i=120Discounted Net Liability Cash Flowi\textit{Reference Undertaking Net TP} = \sum_{i=1}^{20} \textit{Discounted Net Liability Cash Flow}_{i}
93Step 93

Reference Undertaking SCR Base

Reference Undertaking SCR Base=max⁡(0,Reference Undertaking BSCR+Reference Undertaking Operational Risk)\textit{Reference Undertaking SCR Base} = \max(0, \textit{Reference Undertaking BSCR} + \textit{Reference Undertaking Operational Risk})
94Step 94

Reference Undertaking SCR

Reference Undertaking SCR=max⁡(0,Reference Undertaking SCR Base−Reference Undertaking LACDT)\textit{Reference Undertaking SCR} = \max(0, \textit{Reference Undertaking SCR Base} - \textit{Reference Undertaking LACDT})
95Step 95

Reference Undertaking Required Assets at Transfer

Reference Undertaking Required Assets at Transfer=Reference Undertaking SCR+Reference Undertaking Net TP\textit{Reference Undertaking Required Assets at Transfer} = \textit{Reference Undertaking SCR} + \textit{Reference Undertaking Net TP}

Understand the Risk Margin Reference Undertaking SCR

Overview

This calculator implements Risk Margin Reference Undertaking SCR within the Solvency II framework. It feeds the Risk Margin page in the wider calculation chain. Article 38 helper for rebuilding the reference-undertaking transferred cash-flow valuation, BSCR, operational risk, SCR, and required assets used by the risk-margin calculation.

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.

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 LACDT: 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.

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.