From TPT Data to Multi-Jurisdictional SCR; Options and Futures
Enhanced Portfolio SCR Module: The Portfolio SCR module has been rigorously tested with extensive TPT data to enable multi-jurisdictional solvency capital calculations. Previously limited to the Tripartite Reader module for Solvency II, this new functionality significantly expands the calculator's utility for users working with TPT reports.
Expanded Asset Class Coverage: Support for options and futures on government bonds, interest rate swaps, and equity futures has been added to the SCR calculator, complementing the existing equity options asset class. This enhancement ensures the tool now covers the majority of CIC codes, including both basic and derivative asset classes commonly held by insurer investors.
Bug Fixes
Securitised Assets Cashflows: Cashflows for securitised assets - MBS, ABS, CLOs - have been refined to focus on tranche-level cashflows, eliminating the modelling of loan collateral cashflows. This approach better aligns with the perspective of end investors.
CDS Cashflow Simplification: CDS cashflows now include only premium payments. The probabilistic default payment is no longer modelled as a cashflow but instead treated as an inherent impact on market value.
Revised Capital Treatment for Securitised Assets: Under the Insurance Capital Standard, non-senior tranches of securitised assets now receive equity-like capital treatment.
Module Updates
Web Version Retirement: Due to the increased sophistication and computational demands of the desktop version, maintaining the web version has become impractical. The web version will no longer be actively supported and is scheduled for retirement.
Tripartite Reader Retirement: The Portfolio SCR module, which fully incorporates and surpasses the functionality of the Tripartite Reader, is set to replace it entirely. The Tripartite Reader module will be discontinued in the next release.
About
The SCR Calculator now has an approximately quarterly release cycle.