Release Notes

20th July 2023

Singapore RBC is now added in the SCR Calculator.

The Singapore RBC regime is very similar to Solvency II. This is not surprising given the fact that the Singaporean actuarial system originated from the UK.

Several differences arise mainly due to the relatively simple nature of Singapore RBC compared to Solvency II:

• Singapore RBC interest rate base curves, where available, have slightly different LLPs and UFRs from those of Solvency II. See table below for a complete comparison:

  

  Table by SCR Calculator, SmallTrade Limited. All Rights Reserved.
• Interest rate stresses are subject to a maximum 200bps shock either way. This leads to noticeable differences from Solvency II given today's relatively high interest rates in DM countries.
• Singapore matching adjustment portfolio only accepts USD and SGD liabilities.
• There is no favourable capital relief for infrastructure assets.
• Currency risk, at 12%, is considerably lighter than under Solvency II.
• There is no concentration risk module in the market risk aggregation.
• Credit spread risk for all credit assets (apart from A-and-above govies) are obtained through a spread-widening stress, unlike solvency II which simply uses a charge matrix.
• There is no equity symmetric adjustment for equities under Singapore RBC.
• REITs have their own risk capital category, and the charge is heavier than that of properties and same as EM equities.

The above points, where relevant, are all reflected in the SCR Calculator's implementation.

Below is an example screenshot using the SCR Calculator to calculate Singapore RBC asset charges: