1. Installation 2. Main Form 3. Menu Items 4. Settings 5. Functional Forms 6. Data Confidentiality
1. Overview 2. Government Bonds 3. Regional & Municipals 4. Corporate Bonds 5. Infrastructure Debt 6. EU Covered Bonds 7. Mortgage Loans 8. Securitised Assets 9. Credit Default Swap 10. Cash 11. Equity and Options 12. Property 13. Bond Futures 14. Interest Rate Swaps 15. Convertible Bonds 16. SCR Results 17. PowerPoint Export 18. Verbal Explanations 19, Cashflows, Curves & Sensitivities 20. Saving to a Portfolio
1. Overview 2. Choice of Data 3. Notch-level Interpolation 4. Button for Verification 5. Get and Set MA parameters
1. Overview 2. Basic Inputsheet 3. Bloomberg Inputsheet 4. The FX Tab 5. The Stats Tab 6. The SCR Tabs 7. Buttons on the RHS 8. Tripartite Columns 9. Sensitivity Testing 10. Solvency Report
1. Overview 2. Import Allocation 3. Import Returns 4. First Efficient Frontier 5. Numerical Constraint 6. Verbal Constraint 7. Multi-Regime 8. Ad Hoc Columns 9. Quarterly and Missing Values 10. Partially Hedged Series 11. LRPs and Surplus Optimisation 12. Setting Customised Objective
1. Overview 2. Simple Allocation Table 3. "Proactive Interpretation" 4. Working with Larger Portfolios 5. Limitations
1. Overview 2. Input Spreadsheet 3. The 'Current' tab 4. The 'New' tab 5. The 'Settings' tab 6. Run Optimisation 7. Use - Reduce SCR 8. Use - Allocation Cap 9. Use - Credit Fundamentals 10. Use - Minimise Turnover 11. Use - ESG 12, Use - Transactional Cashflow Planning 13, Use - Annuity Cashflow Matching
1. Overview 2. Layout 3 Examine a Single Asset 4. Calculate All and Export
1. Menu Items 2. Basic Inputsheet Datafields 3. Bloomberg Datafields 4. Ratings and Rating Index 5. Currencies and Countries
1. Modelling Cashflows with Optionality 2. Floating Rate Modelling 3. Mortgages and Securitised Assets 4. CDS Modelling 5, Equity Options Modelling
1. Solvency II 2. Swiss Solvency Test 3. Bermuda SCR 4. China C-Ross II 5. Australian LAGIC 6. S&P Insurance Capital 7. Insurance Capital Standard 8. Japan ESR 9. Korean-ICS 10. Singapore RBC 11. Taiwan RBC 12. Canadian LICAT

SCR Calculator User Manual

Version 1.15.0.0 Last modified 2024-7-15

Mandatory Fields of the Basic Inputsheet of the Portfolio SCR Form

The mandatory fields of a basic inputsheet and their legitimate values are summarised in the following table. You do not need to memorise these columns. You can download the right templates from Menu and join them; or build a model portfolio in the Portfolio SCR form, and export.

ID

Unique strings chosen by the user for each asset. Can be ISIN, SEDOL or other identifiers.

Issuer

Any string. Can be Ticker or full name of the issuer.

Port

Can be a single string across all assets; or several values, each representing a sub-portfolio.

Cat

One of "gov", "regional", "corp", "infra", "covered", "mort", "sec", "cds", "cash", "eq", "prop".

Sub Cat

Generated and exported from the Single Asset Form. Also see input templates for examples of likely entries for each asset type.

Info

Generated and exported from the Single Asset Form. Also see input templates for examples of likely entries for each asset type.

Country

Two-letter ISO-3166 country codes. See "Currencies and Countries" for more details.

Notional

Numeric values for Fixed Income assets only.

Currency

Three-letter ISO-4217 codes. See "Currencies and Countries" for more details.

MV_LC, MV_PC and Weight

Numeric values. At least one of these 3 columns must be present:

  • "MV_LC" - Market Value in Local Currency
  • "MV_PC" - Market Value in Portfolio Currency
  • "Weight" - Asset weight in portfolio - can be percentage or plain numeric format. Does not have to sum up to 1.
Note that for fixed income assets, the "Notional" column's value must be consistent with the "MV_LC" column's value, or the calculator will fail to generate cashflows or goal-seek a yield.

CurrHR

Numeric values between 0 ~ 100.

Exp Ret

Numeric values (representing expected return in percentage format, e.g. 4.0).

Rating

  • In the simplest case, "AAA", "AA1", "AA2", "AA3", "A1", "A2", "A3", "BBB1", "BBB2", "BBB3", "BB1", "BB2", "BB3", "B1", "B2", "B3", "CCC1", "CCC2", "CCC3", "CC1", "CC2", "CC3", "C", "D", "NR" (Fixed Income and cash only).
  • Other rating formats are also accepted. The SCR calculator can interpret a wide range of rating input formats. See "Ratings and Rating Index" for more details.

Maturity

Date values (can be UK or US style but must be consistent).

Cpn Rate

Numeric values (Fixed Income assets only). No need for '%'.

Cpn Freq

1,2,4 or 12 (Fixed Income assets only).

Floating

'1' for floating instruments or leave empty (Fixed Income assets only).

CallPutSchedule

Only enter if the asset is likely to be called. Should separate options by semi-colon and each option has three fields - date, nature, strike price.

Example: "2025-01-31,call,102;2026-07-31,put,108"

Seniority

Leave empty for senior, or "Sub" or "Junior" (Fixed Income assets only).

About

The SCR Calculator can be used for single asset or portfolio SCR calculations under multiple jurisdictions, and both asset-class-level and line-level portfolio optimisations.

External Resources

  1. Solvency II - EU2015-35
  2. Swiss Solvency Test
  3. Bermuda Solvency
  4. China C-ROSS II
  5. Australian LAGIC
  6. S&P Capital (Post-2023 version)
  7. Insurance Capital Standard v2.0
  8. Japan ESR
  9. Korean ICS
  10. Singapore RBC
  11. Taiwan RBC
  12. Canadian LICAT
  13. Canadian MCT