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 Options 12. Property 13. Bond 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. The FX Tab 5. The Stats Tab 6. The SCR Tabs 7. Buttons on the RHS 8. Tripartite Columns 9. Sensitivity Testing 10. 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
1. Overview 2. Simple Allocation Table 3. "Proactive Interpretation" 4. Working with Larger Portfolios 5. Limitations
1. Overview 2. Input Spreadsheet 3. The 'Current' tab 4. The 'New' tab 5. The 'Settings' tab 6. Run Optimisation 7. Use - Reduce SCR 8. Use - Allocation Cap 9. Use - Credit Fundamentals 10. Use - Minimise Turnover 11. Use - ESG 12, Use - Transactional Cashflow Planning 13, Use - Annuity Cashflow Matching
1. Overview 2. Layout 3 Examine a Single Asset 4. Calculate All and Export
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 1.15.2.0 Last modified 2024-9-9

Mortgage Loans and Agency Passthroughs

Responsive image

Mortgage cashflows are modelled using the PSA model to reflect their negative interest rate convexity. Parameters needed are:

  • CPR0: starting Conditional Prepayment Rate on an annualised basis. Default value 0.2%.
  • Mths: number of months for the CPR to ramp up to its full level. Default value 30.
  • CPRf: final constant annualised CPR rate. Default value 6%.
  • UpScale: multiplier to the CPR in an interest rates down scenario. When interest rates go down, mortgage prepayment rates tend to go up because (fixed rate) borrowers tend to refinance. Default value 2.
  • DownScale: multiplier to the CPR in an interest rates up scenario. When interest rates go up, mortgage prepayment rates tend to go down because (fixed rate) borrowers stay with their current lenders. Default value 0.5.
  • DelayMths: the number of months until the CPR model kicks in. Default value 0.

About

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

External Resources

  1. Solvency II - EU2015-35
  2. Swiss Solvency Test
  3. Bermuda Solvency
  4. China C-ROSS II
  5. Australian LAGIC
  6. S&P Capital (Post-2023 version)
  7. Insurance Capital Standard v2.0
  8. Japan ESR
  9. Korean ICS
  10. Singapore RBC
  11. Taiwan RBC
  12. Canadian LICAT
  13. Canadian MCT