SCR Calculator User Manual

Solvency II - Implementation Technicals

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

Portfolio Interest Rate SCR is calculated by aggregating single asset interest rate SCRs of the defined, single direction. For fixed rate assets, it is the difference between the base market value and a shocked market value assuming the credit spread remains the same. For floating rate assets, the forward rates are derived from the spot curve and are assumed to realise in order to simulate future coupon amounts. Non-fixed-income assets are not affected by this stress.

Portfolio Equity SCR is calculated from four components: Type 1, Type 2, Infrastructure and Infrastructure Corporate Equities and the regulatory aggregation formula assuming 0.75 correlation among them, as per Article 168 of EU2015-35.

Portfolio Concentration SCR is calculated using regulatory procedures as per EU2015-35. A detailed Concentration Risk report is available via a "+" button next to the Concentration Risk output box in the "SII" tab of the Model Portfolio form. The user needs to check the "Conc SCR" checkbox to ensure this calculation is carried out.

Portfolio Currency SCR is calculated as pe EU2015-2017A for each currency pair then aggregated.

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