SCR Calculator User Manual
Version 1.16.0.0 Last modified 2024-12-8
Corporate Bond
Corporate bonds are calculated similarly to government bonds, but they usually have lower ratings and typically do not qualify for SCR exemptions under any regime.
The double arrow button near the "Maturity" input has been explained previously.
The double arrow button next to "Market Value (Local Currency)" appears for foreign assets. It allows you to input the portfolio currency valuation, and the calculator will determine the local currency valuation for you.
If the "Floating Rate?" checkbox is selected, the "Coupon Rate" field changes to "Margin," representing the additional rate applied to the risk-free rate (of the asset's currency) for coupon calculations.
Call-Put Schedule
- The "Callable/Puttable Schedule" button lets users define multiple calls/puts throughout the asset's lifetime. Users can upload or download spreadsheets detailing call/put definitions, including dates, types, and strike prices.
- Projected cashflows for each call/put scenario are compared, and a look-back algorithm determines the most likely option implementation scenario.
- Detailed explanations of the algorithms for call/put decision-making and cashflow projections can be found in Appendix II.1 Modelled Cashflows with Optionality.