Regulation 7B Calculation of risk marginF1

“RM” denotes risk margin;

“CoC” denotes the cost-of-capital rate, which equals 4%;

the sum covers all integers including zero;

“SCR(t)” denotes the SCR of the reference undertaking after t years, calculated in accordance with PRA rules;

“λ” denotes the risk tapering factor, and equals—

“${\lambda }^t$” denotes the risk tapering factor to the power of t years;

“${\lambda }_{floor}$” denotes the floor of the risk tapering factor, and equals 0.25;

“r(t+1)” denotes the basic relevant risk-free interest rate for the maturity of t + 1 years, derived from the basic relevant risk-free interest rate term structure.