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

Overview

Context

The Matching Adjustment (MA) methodology under Solvency II is divided into two versions: the EIOPA version and the "Solvency UK" version.

  • The EIOPA version has been in place since December 2015, the start of Solvency II. Since then, EIOPA has been publishing monthly Risk-Free Rates (RFRs) and Fundamental Spread (FS) data.
  • The UK version of Solvency II, introduced in December 2020, features slightly different calibrations for RFRs, FS components, and a notably different Equity Symmetric Adjustment compared to EIOPA's version.
  • In September 2023, the UK PRA released CP19/23, a public consultation paper as part of the Solvency II Review. This paper proposed new notch-level FS and MA methodologies, further distinguishing them from EIOPA's, though the differences remain minor.

These variations in data and methodology are fully implemented in the SCR Calculator. Both datasets are stored in the calculator's database and delivered to the frontend via its data API.

The SCR Calculator also allows users to customize fundamental spread components using "get" and "set" buttons, enabling the application of user-defined calibrations.

Although Matching Adjustment concepts exist under Hong Kong RBC and Singapore RBC, they are currently not implemented in the SCR Calculator.

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