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Options and Guarantees Valuation

Calculate the Final Options and Guarantees Value instantly.

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Final Options and Guarantees Value

€15 050 000

1Step 1

Time Value of Options and Guarantees

Time Value of Options and Guarantees=max⁡(0,Market-Consistent Liability Value−Intrinsic Liability Value)\textit{Time Value of Options and Guarantees} = \max(0, \textit{Market-Consistent Liability Value} - \textit{Intrinsic Liability Value})
2Step 2

Stressed TVOG

Stressed TVOG=Time Value of Options and Guarantees×1+Stress Multiplier Percent\textit{Stressed TVOG} = \textit{Time Value of Options and Guarantees} \times 1 + \textit{Stress Multiplier Percent}
3Step 3

Final Options and Guarantees Value

Final Options and Guarantees Value=max⁡(0,Stressed TVOG−Recognized Management Actions Impact)\textit{Final Options and Guarantees Value} = \max(0, \textit{Stressed TVOG} - \textit{Recognized Management Actions Impact})
4Step 4

Final Value as Percent of SCR

Final Value as Percent of SCR={0Reference SCR≤0100×Final Options and Guarantees ValueReference SCRReference SCR>0\textit{Final Value as Percent of SCR} = \begin{cases}0 & \textit{Reference SCR} \le 0 \\ 100 \times \frac{\textit{Final Options and Guarantees Value}}{\textit{Reference SCR}} & \textit{Reference SCR} > 0\end{cases}
5Step 5

Management Actions Trace Gap

Management Actions Trace Gap=Recognized Management Actions Impact−Trace Recognized Management Actions Impact\textit{Management Actions Trace Gap} = \textit{Recognized Management Actions Impact} - \textit{Trace Recognized Management Actions Impact}
6Step 6

Management Actions Trace Absolute Gap

Management Actions Trace Absolute Gap=max⁡(Management Actions Trace Gap,1×Management Actions Trace Gap)\textit{Management Actions Trace Absolute Gap} = \max(\textit{Management Actions Trace Gap}, 1 \times \textit{Management Actions Trace Gap})
7Step 7

Management Actions Trace Breach Flag (0/1)

Management Actions Trace Breach Flag (0/1)=gte⁡(Management Actions Trace Absolute Gap,Management Actions Trace Tolerance Amount)\textit{Management Actions Trace Breach Flag (0/1)} = \operatorname{gte}\left(\textit{Management Actions Trace Absolute Gap}, \textit{Management Actions Trace Tolerance Amount}\right)
8Step 8

Management Actions Governance Breach Flag (0/1)

Management Actions Governance Breach Flag (0/1)=max⁡(0,1−Management Actions Governance Gate Flag (0/1))\textit{Management Actions Governance Breach Flag (0/1)} = \max(0, 1 - \textit{Management Actions Governance Gate Flag (0/1)})
9Step 9

Combined Management Actions Governance Breach Flag (0/1)

Combined Management Actions Governance Breach Flag (0/1)=max⁡(Management Actions Trace Breach Flag (0/1),Management Actions Governance Breach Flag (0/1))\textit{Combined Management Actions Governance Breach Flag (0/1)} = \max(\textit{Management Actions Trace Breach Flag (0/1)}, \textit{Management Actions Governance Breach Flag (0/1)})

Understand the Options and Guarantees Valuation

Overview

This calculator provides an atomistic options and guarantees valuation step for technical provisions.[1] It estimates the time value of options and guarantees (TVOG), applies a stress multiplier, and recognizes management-actions relief only when governance conditions are satisfied.

Input Terms

  • Market-Consistent Liability Value: Liability value including option and guarantee optionality.
  • Intrinsic Liability Value: Liability value excluding time value.
  • Stress Multiplier Percent: TVOG scaling factor for stressed valuation.
  • Reference SCR: SCR denominator for reporting TVOG materiality.
  • Recognized Management Actions Impact: Governance-approved relief amount produced by the dedicated management-actions rule calculator.

Technical Rationale

The calculator computes:

1. base TVOG as the excess of market-consistent over intrinsic liability value, 2. stressed TVOG after applying the stress multiplier, and 3. final options-and-guarantees valuation net of recognized management-actions impact.

It also reports the final valuation as a percentage of SCR for materiality diagnostics.

Important Notes

  • Atomistic scope only: This calculator does not run full BEL, SCR, or risk-margin aggregation.
  • Governance split: Management-actions governance and recognition logic now lives in the dedicated `management-actions-rule-calculator`.
  • Upstream dependency: The market-consistent and intrinsic valuation inputs should come from the undertaking’s approved valuation workflow.

Sources

  1. Directive 2009/138/EC - Art. 77 (Calculation of technical provisions) - EIOPA

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.