SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Overview

Context

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

  • The EIOPA version has been in place since December 2015, the inception of Solvency II. EIOPA has been publishing monthly Risk-Free-Rates (RFRs) and Fundamental Spread (FS) data since then.
  • The UK version of Solvency II came into being since December 2020 and had slightly-different calibrations of RFRs, FS components and noticeably different Equity Symmetric Adjustment from EIOPA's.
  • The UK PRA published the CP19/23 public consultation paper in September 2023 as part of the UK Solvency II Review. CP19/23 proposes new, notch-level FS and MA methodology that sets them further apart - although the difference is still small.

These differences in data and methodology are implemented in the SCR Calculator. Both datasets are maintained a copy in the SCR Calculator's own database and served via its data API to the frontend.

Besides, the SCR Calculator allows the user to set arbitrary fundamental spread components via 'get'/'set' buttons. This functionality is helpful for the use of own calibration.

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