5

TMTP Calculation

5.1

A firm must calculate its TMTP, so that TMTP satisfies:

\[0\le \mathrm{T_r}\le(\mathrm{A_r+B_r+C_r-W_r})\]

where:

Tr = the amount of TMTP as at the final day of the relevant reporting period;
Ar = the amount of TMTP attributable to the risk margin portion, which is determined by multiplying ‘ZA’ as calculated in 4.2(4) with the risk margin portion, calculated as at the final day of the relevant reporting period;
Br = the amount of TMTP attributable to the dynamic portion, which is determined by multiplying ‘ZB’ as calculated in 4.2(5) with the dynamic portion, calculated as at the final day of the relevant reporting period;
Cr = ‘C0’ as calculated in 4.2(3), multiplied by (1-M/7);

M =

  1. (a) on 31 December 2024, 0; or
  2. (b) after 31 December 2024, represents the days elapsed since 1 January 2025 and must be calculated at least on the final day of each year-end reporting period and on the 1 January 2032 as follows:

\[\frac{x}{365}\]

where:

  1. x = the number of days since 1 January 2025 not including 29 February 2028, so that 1 January 2025 is 0; and

Wr = an amount calculated in accordance with 5.2, to increase the rate of run-off of TMTP.

5.2

For the purpose of calculating the value of ‘Wr’ referred to in 5.1, a firm must, on the same day on which the value of ‘M’ used in the TMTP method is updated and following any transfer event in accordance with 6.1(3), calculate a new value for ‘Wr’ as follows:

\[\frac{(\mathrm{A_7+B_7-W_q})}{\mathrm{R(7-M)}} +\mathrm{W_q}\]

where:

A7 = the projected risk margin portion as at 1 January 2032, multiplied by ‘ZA’;

B7 = the projected dynamic portion as at 1 January 2032, multiplied by ‘ZB’;

M = the value of ‘M’ in the TMTP method for the same reporting period;

Wq = the value of ‘Wr’, if any, as at the final day of the previous reporting period; and

R =

  1. (a) if the reporting period is quarterly, 4; or
  2. (b) if the reporting period is annual, 1.