SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Reducing SCR While Enhancing Yield


Get SCR from Multi-Regime Model Portfolio Form

The same bloomberg inputsheet can be used in another form of the SCR Calculator - the Multi-Regime Model Portfolio Form - to calculate all SCRs under any regulatory regimes. Here we calculate the Solvency II Spread SCR for both 'Current' and 'New' tabs. Note that the import format must be set to 'Bloomberg':

Current assets SCR
New investible assets SCR
Modified Inputsheet

Once calculated, export the data and manually copy the SpdSCR columns into the two tabs in the Fixed Income Portfolio Optimiser inputsheet (downloadable spreadsheet below):


Set SCR as a Constraint

Now reimport the modified inputsheet into the Fixed Income Portfolio Optimiser form, and in the 'Settings' tab, set a customised constraint of "SCR <= 0.06" (the current value is 0.083). The objective is still to maximise Yield-to-Worst.


Result

We were able to enhance yield and reduce SCR considerably and simultaneously:

The user can choose from the hundreds of SCR data columns available for export from the Multi Regime Portfolio Form and use them here.