# SCR Calculator User Manual

Version 1.15.2.0 Last modified 2024-9-9

### Floating Rate Modelling

**Curve-based Shocks**

Floating rate asset cashflows are affected by regulatory yield curve shock scenarios that define interest rate risk capital amounts.

Their cashflows and present value are modelled via the following procedures:

- Convert the spot curve into a forward curve (there is a tool "Spot to Forward" in Menu that can verify the workings of this function).
- Interpolate the forward curve to work out the exact rates corresponding to the asset's coupon dates.
- Assuming the forward rates realise and calculate future coupons as [float margin] + [forward rate] for each future point in time.
- The present value is obtained by discounting with the spot curve.

When calculating interest rate capital:

- (For both floating and fixed assets) in the base scenario, a credit spread is goal-sought on top of the base curve to march the given market value.
- In a shocked scenario, the present value is recalculated using the shocked yield curve and the credit spread (assuming unchanged).
- The difference between the base and shocked present value is the interest rate risk capital. Positive figure means a stress.

**Code Snippet**