What SCR Calculator does
A Windows application for insurers, asset managers and consultants who need the regulatory capital of an investment portfolio: calculated holding by holding, explained, and comparable across regimes.
The capital of each holding and of the portfolio
Load your holdings from the input workbook: government, corporate and covered bonds, loans and mortgages, securitisations, equities, property, funds, cash and derivatives such as swaps, options, futures and credit default swaps. SCR Calculator applies each regime's standard formula to every line, aggregates the result with the regime's correlations, and shows the charge by risk module and by holding.
Each result comes with a downloadable calculation workbook that sets out the inputs, the parameters taken from the regulation and every intermediate step, so a reviewer can follow and repeat it.
Your data stays with you
All calculations run on your own computer. Your portfolio, results and workbooks are never sent to us or anyone else. The only online step is the licence check when you sign in with your Microsoft account.
You supply the market data: fill in the input workbook directly, or use the Bloomberg downloader template if your firm has a Bloomberg terminal. The Curve builder turns market curves into each regime's base and stressed curves.
Fifteen regulatory regimes
Turn on the regimes you report under and run the same portfolio through all of them at once.
Europe, Africa and global
Americas and Bermuda
Asia-Pacific
Japan's ESR, Korea's K-ICS and Taiwan's TW-ICS are the local versions of the ICS and share its inputs, so you enter a holding once. Bermuda covers the BSCR and the scenario-based approach.
Modules
Portfolio optimiser
Suggests trades that improve a bond portfolio against your objective (lower capital, higher yield, better credit quality or ESG scores), while respecting turnover limits, concentration caps and cash-flow needs such as annuity matching. It has its own input workbook, guide and output workbook.
Strategic asset allocation study
Builds efficient frontiers for any number of asset classes, with capital measured under one or several regimes, liability-relative and surplus objectives, and numerical or plain-language constraints.
Curve builder
Converts market curves into the base and stressed curves each regime prescribes: extrapolation, credit risk adjustment, volatility and matching adjustments, and the regime-specific methods of the ICS, LAGIC, C-ROSS and others.
Sensitivities and projections
Move rates, spreads, equity and property markets and currencies, and see the effect on value and capital. Project the portfolio and its capital requirement over future periods.
Tripartite reports
Reads Tripartite (TPT) fund reports and converts them into the input workbook, and adds the capital columns back to a TPT file for your look-through reporting.
Command line and Python
The scrcalc command line and the Python package drive the same engine, with rich results in Excel, HTML and
JSON, for batch runs, scheduled reporting and your own analysis. Included with Enterprise and Academic licences.
Methodology and validation
For each regime there is a methodology document, which sets out how the regulation is implemented and which assumptions are made, and a validation document, which records the tests of the implementation against the regulation and worked examples. They are written for model governance, internal audit and investment committee approval.
Ask us for them as part of your evaluation.
What you need
- Windows 10 or 11, 64-bit
- Microsoft Excel to open the workbooks (the app reads and writes them itself)
- A Microsoft work or school account to sign in (personal Microsoft accounts get the Learning licence)
- An internet connection to sign in; after that the licence works offline for up to 14 days