SCR Calculator User Manual

Corporate Bond

Corporate bonds are calculated in a similar way to government bonds except that they are usually rated lower and normally do not have any SCR exemption under any regimes.

The double arrow button near the "Maturity" input is explained before.

The double arrow button near the "Market Value (Local Currency)" input appears when you have entered a foreign asset. It allows you to enter a portfolio currency valuation of that foreign asset, then the calculator will work out the local currency valuation for you.

If the "Floating Rate?" checkbox is ticked, the "Coupon Rate" inputbox becomes "Margin", meaning that it is added on top of the risk free rate (of this asset's currency) when calculating coupons.

• The "Callable/Puttable Schedule" button allows the user to define as many calls/puts as needed during an asset's lifetime. The user can upload/download a spreadsheet containing the definition of the calls and puts - date, nature and strike price.
• The cashflows in each case of a call/put being used are projected; and their present values compared against each other. Using a look-back algorithm, the most likely option implementation scenario is determined.
• More detailed technical explanations of the call/put decision-making and cashflow projection algoritms are in Appendix II.1 Modelled Cashflows with Optionality
• This advanced function is only available in the desktop version of the SCR Calculator.