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 Equity Options and Futures 12. Property 13. Bond Options and 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. Tripartite Report as Input 5. The FX Tab 6. The Stats Tab 7. The SCR Tabs 8. Buttons on the RHS 9. Output TPT Columns 10. Sensitivity Testing 11. 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 13. "One-click SCR"
1. Overview 2. Input Spreadsheet 3. The 'Current' tab 4. The 'New' tab 5. The 'Settings' tab 6. Run Optimisation 7. Reduce SCR 8. Capped Allocation 9. Enhance Credit Fundamentals 10. Minimise Turnover 11. Enhance ESG 12, Transaction Cashflow Planning 13. Annuity Cashflow Matching
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 1.16.0.0 Last modified 2024-12-8

Reducing SCR While Enhancing Yield


Calculating SCR Using the Portfolio SCR Form

The same Bloomberg inputsheet can be used in the Portfolio SCR Form to calculate SCR values. In this example, we calculate the Solvency II Spread SCR for both the 'Current' and 'New' tabs. Ensure the import format is set to 'Bloomberg.' Then, navigate to the "SII" tab and tick the checkbox next to "Spread SCR."

SCR for Current Assets
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SCR for New Investible Assets
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Modifying the Inputsheet

After calculating the SCR values, export the data and manually copy the SpdSCR columns into the 'Current' and 'New' tabs of the Fixed Income Portfolio Optimiser inputsheet. You can download the modified spreadsheet below:

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Setting SCR as a Constraint

Reimport the modified inputsheet into the Bond Optimiser. In the 'Settings' tab, define a customised constraint for SCR, such as SCR <= 0.06 (the current value is 0.083).

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Optimisation Result

By applying the constraint, we achieved an increase in yield while simultaneously reducing SCR:

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Users can choose different capital measures for inclusion in this process, tailoring the optimisation to specific requirements.

About

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

External Resources

  1. Solvency II (European)
  2. Solvency UK
  3. Swiss Solvency Test
  4. Bermuda Solvency
  5. China C-ROSS II
  6. Australian LAGIC
  7. S&P Capital
  8. Insurance Capital Standard v2.0
  9. Japan ICS
  10. Korean ICS
  11. Singapore RBC
  12. Hong Kong RBC
  13. Taiwan RBC
  14. Canadian LICAT
  15. Canadian MCT