SCR Calculator User Manual

'Get' and 'Set' MA

In 'Menu' → 'Data & Parameters' & 'SII Fundamental Spread parameters', the user can access the 'get' and 'set' functionalities for MA calculation.

On clicking 'get', a spreadsheet containing all the FS components for all currencies and economies will be downloaded:

Tabs in the downloaded spreadsheet:

• GovFS Government bond fundamental spreads - 53 countries in total.
• CorpFS Corporate bond fundamental spreads - 14 rows per currency x 33 currencies = 462 rows in total. For each currency, there are 7 financial bond FS and 7 non-financial bond FS corresponding to CQS 0 - 7 (AAA to CCC-and-below).
• CorpPDprob Corporate bond probability of default in probability percentage terms - similarly, 462 rows in total. These probabilities are normally used for cashflow haircuts in cashflow projection.
• CorpPDpct Corporate bond probability of default in absolute value (bps) terms - 462 rows in total. These are used for calculating the Fundamental Spread.
• CorpCoD Corporate bond cost of downgrade - 462 rows in total. These are used for calculating the Fundamental Spread.
• GovLTAS Government bond long-term average spread - 53 countries in total.
• CorpLTASbasic Corporate bond 'basic' long-term average spread - only 3 currencies - EUR, USD and GBP are published, hence 'basic'. 14 rows per currency - 42 rows total.
• CorpLTASoverEURO For countries among the 53 selected by EIOPA that do not use the above 3 currencies, each is assumed a spread over EUR, so that their corporate bond long-term average spread can be calculated using the EIOPA formula:
  LTAS (currency i) = LTAS (EUR) + 0.5 * SpreadOverEURO.

Once the user modified the spreadsheet, click 'Set' and it will be uploaded. Future calculations of the fundamental spread, and thus the matching adjustment, will be based on these user-supplied parameters.