SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Bermuda Solvency - Implementation Technicals


Single Asset BSCR

Single Asset BSCR calculation is well-explained using the "Explain this Calculation" button.

Portfolio Interest Rate BSCR

Portfolio Interest Rate BSCR is calculated using the officially prescribed shocks given by BMA. These shocks have been constant since 2019.

Note that the base curves are the quarterly published official BMA risk-free and standard curves. For more accurate timely calibrations of interest rate BSCR, the user is urged to use self-calibrated base BMA curves and the 'set base' facility in the Menu.

Portfolio Equity BSCR

Portfolio Equity SCR is calculated from four components: Type 1 (DM), Type 2 (EM), Type 3 (Infrastructure equity) and Type 4 (real-estates) and the regulatory correlation matrix as below:

Portfolio Concentration BSCR

ICS portfolio concentration BSCR is calculated as the sum of equity and fixed income risk charges of the top 10 name-level exposures. It is implemented in the SCR Calculator.

Diversification Benefit

Diversification benefit is via one of two correlation matrices depending on whether "rate up" or "rate down" scenario is selected.