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

The 'Current' Tab

In the 'Current' tab, click "Import Inputsheet (with 'Current' and 'New' tabs)" button, select the example inputsheet and wait for a few seconds for it to be imported. Then select the "Current" tab and the following will appear:

Responsive image

The main table is a replica of the input spreadsheet, with a few auto-added data fields:

  • Lb, Ub means 'Lower bound', 'Upper bound' respectively for each asset. For the 'Current' portfolio, 'Lb' is set to zero throughout, while 'Ub' is set to the current allocation weight. (The SCR calculator assumes that current assets can only be possibly sold, hence. If you wish to observe the effect of increasing allocation to current portfolio assets, you can include the same set of assets in the 'New' tab.)
  • DtS means 'Duration times Spread', which equals the product of the 'Duration to Worst' and 'OAS vs Swap' columns.
  • Rating Index a notch-level integer reflecting the rating of the asset. AAA=1, Aa1=2, Aa2=3, Aa3=4, A1=5, A2=6, A3=7, Baa1=8, Baa2=9, Baa3=10, Unrated=10.5, Ba1=11, Ba2=12, Ba3=13, B1=14, B2=15, B3=16, CCC=17.

The row of stats boxes underneath the main table are auto-calculated, read-only. They are fairly self-explanatory:

  • Duration weighted-average duration of the portfolio.
  • Rating weighted-average credit rating of the portfolio.
  • Max Maturity the maximum maturity of all assets.
  • Max % the maximum allocation to any single asset.
  • YTW weighted-average Yield-to-Worst of the portfolio.
  • DtS weighted-average Duration-times-Spread of the portfolio.
  • OAS weighted-average Option-adjusted Spread of the portfolio.
  • Non-IG % non-investment-grade assets percentage in the portfolio.
  • Sub % Subordinated assets percentage in the portfolio.
  • Max % AOB Maximum percentage of amount outstanding bought of any single issuance.
  • Min AO Minimum amount outstanding of issuances in the portfolio.

To the lower left:

  • Set 'Upper Bound' Per Asset to Current Weights this button is provided in case the user modified 'Ub' column values but wants to revert to the original setting quickly.
  • Add Cashflows to DataTable This section allows you to add projected bond-level cashflows to the datatable for use in optimisation. You can choose the frequency - annually, quarterly or monthly, and cut-off period, after which the cashflows are not added. This facility is useful when there is a short-term cashflow need out of the portfolio; and you want to optimise which bonds to sell so as to generate just enough cashflows while maintaining the efficiency of the remaining portfolio.

To the lower middle:

  • Display stats of a numeric column Since there are many columns in the datatable, this facility is provided for the user to conveniently choose one and examine the statistics. Once selected/changed, the six stats boxes below will update.
  • Draw RHS chart of a non-numeric column Choosing/changing an entry here will update the column chart on the right hand side, which shows the disctinct entries and their weights in the column.

To the lower right is the column chart of composition weights of the chosen non-numeric column. It can be exported in PowerPoint or image format.

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