# SCR Calculator User Manual

Version 1.15.0.0 Last modified 2024-7-15

### The SCR tabs

The rest tabs - "SII", "BSCR", "SST", "C-ROSS", "LAGIC", "SnP", "ICS", etc. - can be collectively called as "SCR tabs", because they are populated with insurance Solvency Capital Requirement figures under each regime.

Note that Japan-ESR and K-ICS, as variations of the ICS framework, are not directly displayed. To calculate and display them, you can go to the Welcome Form, select "Data & Parameters" → "Specific Parameters" → "ICS Regime Choice" → "K-ICS" / "Japan-ESR". This way, all the ICS calculations become K-ICS or Japan-ESR calculations.

#### Portfolio Level Data

The SCR figures in these tabs are based on line-level data calculated for all assets in the portfolio and then aggregated to portfolio level using the corresponding correlation matrices. More details about these regime-specific, portfolio-level aggregations are being added in the Appendix (work-in-progress).

#### Line-Level Data

You can tick any checkbox accompanying a texbox to add line-level data in the table above. Line-level SCR figures are expressed as a proportion of the asset value and are useful in various occasions. Line-level data, once in the main table, can be exported using the "Export Table" button on the RHS.

#### Specific Risk Reports

Some risk capital calculations are particularly complex, so specific reports are made available for their calculations.

E.g. if you have selected to calculate concentration risk in the Welcome Form (default option is not), then in the "Solvency II" tab, next to the "Concentration Risk" textbox, you will find a "+" button. It produces a Concentration Risk report in CSV format, including names and weights of in-scope and out-of-scope positions, and how they contributed to Concentration Risk SCR.

Similar buttons are provided for ICS interest rate and concentration risk calculations in the "ICS" tab.

#### Detailed Explanations

Below are explanations of the textboxes in each of the SCR tabs:

**"SII" tab**

`Equity SCR`

Equity Solvency Capital Requirement - an aggregated value from the next four entries.`Equity Type 1`

Mainly Developed Market Traded Equities; also some special PE funds.`Equity Type 2`

Emerging Market equities, Hedge Funds and most Private Equities.`Infra Proj`

Infrastructure Project equity, a special type under Solvency II that enjoys some capital relief.`Infra Corp`

Infrastructure Corporate equity, also enjoys some capital relief compared to normal equities, but less so than Infrastructure Project equity.`Spread SCR`

Spread Solvency Capital Requirement - an aggregated value from the next four entries.`Bond`

Spread SCR from credit bonds.`Securi`

Spread SCR from securitised positions.`CDS SpdUp`

Spread SCR from Credit Default Swaps under the spread-up shock. Only one of spread-up and spread-down shocks is used.`CDS SpdDn`

Spread SCR from Credit Default Swaps under the spread-down shock. Only one of spread-up and spread-down shocks is used.`Int Up SCR`

Interest rate SCR from all fixed income assets under the interest rate up scenario. Only one of rate-up and rate-down shocks is used.`Int Dn SCR`

Interest rate SCR from all fixed income assets under the interest rate down scenario. Only one of rate-up and rate-down shocks is used.`Currency SCR`

Currency solvency capital requirement.`Property SCR`

Property solvency capital requirement.`Concen SCR`

Concentration risk solvency capital requirement. Normally only calculated at total B/S level.`Total Mkt`

Total market risk SCR - an aggregate of equity, property, spread, interest rate, concentration and currency risks.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the individual risk capital and the total market risk SCR.`Default SCR`

Counterparty Default SCR - an aggregated value from the next two entries.`Type 1 Default`

Type 1 Counterparty Default Risk SCR.`Type 2 Default`

Type 2 Counterparty Default Risk SCR.`RoSCR`

Return-on-SCR.`MA Potent`

Matching Adjustment (MA) potential of MA-eligible assets within the portfolio, expressed in percentage terms. Note that the checkbox to the right of this input box will add several MA-related data fields to the main table:`MA`

the Matching Adjustment potential equaling the Z-Spread over RFR less the fundamental spread.`DurXMA`

Duration Times Matching Adjustment - the quantity suitable for use in optimisation.`PDprob`

Probability of Default for the asset, in percentage terms, for every year into future over the life of the bond, in comma-delimited format, for use in de-risking matching-adjustment-compatible cashflows (in the Fixed Income Portfolio Optimiser).`PDpct`

Probability of Default in bps for the asset, for every year into future over the life of the bond, in comma-delimited format, for use in Fundamental Spread calculation.`CoD`

Cost of Downgrade in bps for the asset, for every year into future over the life of the bond, in comma-delimited format, for use in Fundamental Spread calculation.`LTAS`

Long-Term Average Spread in bps for the asset, for every year into future over the life of the bond, in comma-delimited format, for use in Fundamental Spread calculation.`FS`

Fundamental Spread value, for every year into future over the life of the bond, in comma-delimited format, as given by the regulatory (EIOPA or PRA). The user can verify the correctness of this value by using the formula described in the previous chapter.

`MA Assets`

Matching Adjustment assets' weight within the portfolio. Note that the checkbox to the right of this input box will add several PRA-style MA-related data fields to the main table:`PDprob_Better`

and`PDprob_Worse`

the two Probabilities of Default for interpolation, in percentage terms, for every year into future over the life of the bond, in comma-delimited format,`PDpct_Better`

and`PDpct_Worse`

the two Probabilities of Default for interpolation, in bps, for every year into future over the life of the bond, in comma-delimited format, for use in UK-PRA-style Fundamental Spread calculation.`CoD_Better`

and`CoD_Worse`

the two Cost of Downgrades for interpolation, in bps, for every year into future over the life of the bond, in comma-delimited format, for use in UK-PRA-style Fundamental Spread calculation.`LTAS_Better`

and`LTAS_Worse`

the two Long-Term Average Spreads for interpolation, in bps, for every year into future over the life of the bond, in comma-delimited format, for use in UK-PRA-style Fundamental Spread calculation.`FS_Better`

and`FS_Worse`

the two Fundamental Spread values, for every year into future over the life of the bond, in comma-delimited format, as given by the regulatory (EIOPA or PRA). The user can verify that the interpolated FS value should be between these two values.

**"BSCR" tab**

`Equity BSCR`

Equity Bermuda Solvency Capital Requirement (BSCR) - an aggregated value from the next four entries.`Equity Type I`

Equity Type 1 BSCR - mainly DM Equties (scope of DM defined by Bermuda Monetary Authority).`Equity Type II`

Equity Type 2 BSCR - mainly EM Equities.`Equity Type III`

Equity Type 3 BSCR - infrastructure equity.`Equity Type IV`

Equity Type 4 BSCR - real estate.`FI BSCR`

Fixed Income Risk BSCR - category- and rating-based`Int Up BSCR`

Interest rate BSCR from all fixed income assets under the interest rate up scenario. Only one of rate-up and rate-down shocks is used.`Int Dn BSCR`

Interest rate BSCR from all fixed income assets under the interest rate down scenario. Only one of rate-up and rate-down shocks is used.`Currency BSCR`

Currency BSCR.`Concen BSCR`

Concentration risk BSCR. Normally only calculated at total B/S level.`Total Mkt`

Total market risk BSCR - an aggregate of equity, fixed income, interest rate, concentration and currency risks.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the individual risk capital and the total market risk BSCR.`RoBSCR`

Return-on-BSCR.

**"SST" tab**

`Growth SST`

Growth asset price risk under the Swiss Solvency Test (SST) - an aggregated value from the next four entries. Note that aggregation is risk-factor-based rather than via a correlation matrix.`Equity`

Equity price risk under the SST.`Property`

Property price risk under the SST.`Hedge Fund`

Hedge Fund price risk under the SST.`Private Equity`

Private Equity price risk under the SST.`Int Rate SST`

Interet rate risk under the SST. Note that this is based on one or several interest rate risk factors.`Currency SST`

Currency capital under the SST.`Spread SST`

Credit spread capital under the SST. Note that this is based on one or several credit risk factors.`Pre-Scene`

Market risk SST aggregated before the addition of any scenario-based risk capital.`Scene-SST`

Scenario-based risk capital under the regulatory-defined SST market risk scenarios.`Market SST`

Market risk SST aggregated including scenario-based risk capital.`Credit SST`

Credit default risk capital under the SST, calculated using BASEL III methods.`Total SST`

Aggregation of market and credit risk capital under the SST.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of market and credit risk capital and the total market risk SST.`RoSST`

Return-on-SST-capital.

**"C-Ross" tab**

`EM Growth`

Emerging market (ex-China) growth asset price risk.`DM Growth`

Developed market growth asset price risk.`DM FI`

Developed market fixed income asset price risk.`EM FI`

Emerging market (ex-China) fixed income asset price risk.`FX`

FX risk (from CNY perspective).`Domes IntRate`

Domestic market (China) interest rate risk. Note this is not calculated, but a user-given input in the SCR Calculator.`Domes Growth`

Domestic market (China) growth asset price risk. Note this is not calculated, but a user-given input in the SCR Calculator.`Domes Real Estate`

Domestic market (China) real estate price risk. Note this is not calculated, but a user-given input in the SCR Calculator.`Total Market`

Total market risk, an aggregated value from the previous six entries.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the six market risks and the total market risk risk capital.

**"LAGIC" tab**

`Equity`

Equity price level risk.`Property`

Property price level risk.`Spread`

Spread widening risk.`Real Int Up`

Real interest rate up risk.`Real Int Dn`

Real interest rate down risk.`Exp Int Up`

Expected inflation up risk.`Exp Inf Dn`

Expected inflation down risk.`Currency Up`

Currency up risk (against AUD).`Currency down`

Currency down risk (against AUD).`Total Market`

Total market risk, an aggregated value from the individual market risk components.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the market risk components and the total market risk risk capital.`Ret-on-LAGIC`

Return-on-LAGIC capital requirement.

**"SnP" tab**

`Equity`

Equity risk charge.`Property`

Property risk charge.`Bond Credit`

Bond credit default risk charge.`Bond Market`

Bond market risk charge.`Total Capital`

Total market and credit risk capital charge.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the market risk components and the total market risk risk capital.`Ret-on-Capital`

Return-on-S&P capital requirement.

**"ICS" tab**

`Equity`

Equity risk capital - an aggregated value of equity level and volatility risks.`Equity DM`

DM listed Equties risk capital.`Equity EM`

EM listed Equities risk capital.`Equity hyd`

Preferred Equities / Hybrid Bonds risk capital.`Equity Other`

Risk capital on other Equities - Hedge Funds, Private Equities, etc.`Eq Lvl`

Eq Level risk - an aggregated value from the previous four components.`Eq Vol`

Equity volatility up risk.`Prop`

Property price risk.`Int Rate`

Interest rate risk (through stochastic simulation).`Spd Up`

Non-Default Credit Spread up risk.`Spd Dn`

Non-Default Credit Spread down risk.`Curr`

Currency risk.`Concen`

Concentration risk.`Total Capital`

Total market and credit risk capital charge.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the market risk components and the total market risk risk capital.`Ret-on-ICS`

Return-on-ICS capital requirement.`Credit`

Credit default risk capital.

**"SgRBC" tab**

`Equity Risk`

Equity risk capital charge.`Interest Rate Risk`

Interest rate risk calibrated through risk free curve shocks up/down.`Spread Risk`

Credit Spread up risk calibrated through spread widening stress.`Property Risk`

Property price risk.`Currency Risk`

Currency risk for all non-SGD currency exposures.`Total Market Risk`

Total market risk capital charge.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the market risk components and the total market risk risk capital.`RoRC`

Return on Regulatory Capital.

**"TaiwanRBC" tab**

`Equity Risk`

Equity risk capital charge.`Property Risk`

Property risk capital charge.`Fixed Income Risk`

Fixed income risk charge, applicable to all fixed income assets on a notch-basis.`Currency Risk`

Currency risk capital charge, based on currency of the insurance contract and of the hypothecating assets.`Concentration Risk`

Concentration risk applicable to all assets except for cash and government bonds. Calculated using.`Total Market Risk`

Total market risk capital charge.`Divers Ben`

Diversification Benefit - the difference between the arithmetic sum of the market risk components and the total market risk risk capital.`RoRC`

Return on Regulatory Capital.

**"HK RBC" tab**

`Equity Risk PCR`

Equity risk capital charge.`Interest Rate Risk PCR`

Interest rate risk calibrated through risk free curve shocks up/down.`Spread Widening Risk PCR`

Credit Spread up risk calibrated through spread widening stress.`Property Risk PCR`

Property price risk.`Currency Risk PCR`

Currency risk for all non-HKD currency exposures.`Total Market Risk PCR`

Total market risk capital charge.`Diversification Benefit PCR`

Diversification Benefit - the difference between the arithmetic sum of the market risk components and the total market risk risk capital.`Return-on-PCR`

Return on Regulatory Capital.

**"LICAT" tab**

`Equity Risk`

Equity risk capital charge.`Property Risk`

Property risk.`Interest Rate Risk DDD`

Interest rate risk capital charge under the "DDD" scenario: Decreased short term interest rate (by adding shock T), decreased long term interest rate (by adding shock B–), and decreased UIR (by subtracting shock L)`Interest Rate Risk UND`

Interest rate risk capital charge under the "UND" scenario: Increased short term interest rate (by adding shock S+), increased or decreased long term interest rate (by adding shock C–), and decreased UIR (by subtracting shock L)`Interest Rate Risk UUU`

Interest rate risk capital charge under the "UUU" scenario: Increased short term interest rate (by adding shock T+), increased long term interest rate (by adding shock B+) and increased UIR (by adding shock L)`Interest Rate Risk DUU`

Interest rate risk capital charge under the "DUU" scenario: Decreased short term interest rate (by adding shock S–), increased long term interest rate (by adding shock C+) and increased UIR (by adding shock L)`Interest Rate Risk`

The worst from the above four interest rate stresses.`Currency Risk`

Currency risk for the larger of net long and net short foreign currency exposures.`Total Market Risk`

Total market risk capital as a simple sum of the above components.`Credit Risk`

Credit Default risk calibrated through a regulatory table for main fixed income asset categories.`Return-on-LICAT`

Return on Regulatory Capital.