Risk Margin

The risk margin calculation part of Tabular consists of three parts (note, there is a non-life and life version of each and for composites, both will be included in the return):

• there are two sheets that comprise this section: TP.RM.(NL/LI).SCR and TP.RM.(NL/LI).RSCR
• the TP.RM.(NL/LI).SCR sheet is populated by running the Risk Margin feature. This feature will apply the standard SCR calculations to the model entry data but with some minor changes to reflect the assumptions of the Reference Undertaking, as defined in Delegated Acts, including only considering reinsurance recoverable within the counterparty default module
• the TP.RM.(NL/LI).RSCR Sheet brings in the SCR results from plus (where the standard results suffice, such as underwriting risk modules) into an overall SCR calculation sheet for the Reference Undertaking

The output from this section is the TP.RM.(NL/LI).RSCR C0160 value: the SCR of the Reference Undertaking at the Reference date. This is used as the base-value for calculating future “run-off” SCRs in TP.RM.(NL/LI).FSCR

• There are two sheets that comprise this section also: TP.RM.(NL/LI).FBE and TP.RM.(NL/LI).FSCR
• The TP.RM.(NL/LI).FBE sheet is populated by running the Risk Margin feature. This feature will generate a run-off Best Estimate for each future year, up until all Cashflows as expected and entered into BE.CF.(GR/RI).(NL/LI) are expired.
• The TP.RM.(NL/LI).FSCR sheet is populated by running the generic ‘Sii model > Auto-fill calculation sheet(s)’ feature on these sheets. It will have the same number of rows as the TP.RM.(NL/LI).FBE sheet and combine this data with the TP.RM.(NL/LI).RSCR C0160 value to generate each future year run-off SCR and, using the proscribed Cost of Capital rate, the Risk margin allocated.

The output from this section is the TP.RM.(NL/LI).RSCR C0100 value: the Risk Margin allocated to LoB and Currency. This is summed across the different “Future Years” per LoB and currency in the TP.RM sheet

– Risk Margin results

• The sum of the individual run-off risk margin amounts for each Sii Line of business and Currency (note Currency split is needed for S.02.02 purposes) are pulled in from TP.RM.(NL/LI).FSCR and entered into TP.RM C0050 and C0060 as required. This sheet is populated by running the generic ‘Sii model > Auto-fill calculation sheet(s)’ on this sheet
  

Overall Workflow for Risk Margin
Because the Risk margin is dependent on the SCR at the reference date, you must run the sii model refresh (all, to have the QRTs also updated and final, except for risk margin disclosures of course), run the risk margin calculations and then run sii model refresh again (at least the QRTs so that these are now complete i.e. with the risk margin amounts included). A high-level step-by-step of the process is:

1. First ensure the base-line SCR calculation is complete

2. Then run “Sii model > Refresh risk margin model reference data”
a. This will populate TP.RM.(NL/LI).SCR and TP.RM.(NL/LI).FBE

3. Then verify TP.RM.(NL/LI).RSCR _ (some of the inputs for which are taken from _TP.RM.(NL/LI).SCR and some from the base-line SCR ie SCR.SCR and SCR.BSCR) produces the correct SCR for the reference undertaking (make any overrides to the formula inputs as required)

4. Then run ‘Sii model > Auto-fill calculation sheet(s)’ on TP.RM.(NL/LI).FSCR and TP.RM. The formulas here should bring in all the information already entered into the sheets populated from step 1 through 3 and give the final Risk Margin amounts (split by LoB and currency) in the final risk margin output sheet TP.RM (the results from here are what is loaded to QRTs)

5. Then ensure you re-run the “Sii model > Refresh” (note you only need to re-run the QRTs refresh so you can select “Sii model > Refresh > Refresh All QRTs” alternatively) so that Risk Margin amounts are included in QRTs