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. Amortised Bonds 8. Mortgage Loans 9. Securitised Assets 10. Credit Default Swap 11. Cash 12. Equity and Equity Options and Futures 13. Property 14. Bond Options and Futures 15. Interest Rate Swaps 16. Convertible Bonds 17. SCR Results 18. PowerPoint Export 19. Verbal Explanations 20, Cashflows, Curves & Sensitivities 21. 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 1.17 Last modified 2025-4-6

The Stats Tab

Stats Tab Screenshot

The "Stats" tab, as shown above, provides a range of output textboxes displaying key portfolio metrics. For textboxes with a checkbox on the right, you can click the checkbox to add line-level data to the main table above. Below is an explanation of the various textboxes:

  • MV: Market Value of the portfolio in its base currency.
  • Cash Yld: Cash yield of the portfolio in percentage terms, including income from bonds, rental properties, and dividends from equities, while factoring in FX hedging costs and hedge ratios.
  • Exp Ret: Expected return of the portfolio in percentage terms, accounting for FX hedging costs and hedge ratios.
  • Rating Index: A numerical representation of the average credit quality of the portfolio, measured at the notch level (e.g., 1 = Aaa, 2 = Aa1, 3 = Aa2, ..., 10 = Baa3, and so on).
  • Rating: The average credit rating of fixed income assets in the portfolio.
  • MV FI: Total market value of fixed income assets.
  • MV Growth: Total market value of growth assets (equities and properties).
  • MV Cash: Total market value of cash holdings.
  • MV Deriv: Total market value of derivatives (e.g., equity options, CDS).
  • MacDur Port: Average Macaulay duration (cashflow-weighted) of the portfolio.
  • ModDur Port: Average modified duration of the portfolio, calculated as Macaulay Duration / (1 + yield).
  • EffDur Port: Average effective duration of the portfolio, calculated as (MVyield_down - MVyield_up) / (2 * Δyield).
  • Convex Port: Average cashflow-weighted convexity of the portfolio.
  • EffConv Port: Average effective convexity of the portfolio, calculated as (Durationyield_down - Durationyield_up) / Δyield.
  • MacDur FI: Average Macaulay duration of fixed income assets in the portfolio.
  • ModDur FI: Average modified duration of fixed income assets in the portfolio.
  • EffDur FI: Average effective duration of fixed income assets in the portfolio.
  • Convex FI: Average convexity of fixed income assets in the portfolio.
  • EffCon FI: Average effective convexity of fixed income assets in the portfolio.
  • Yield: Average yield of fixed income assets in the portfolio, factoring in FX hedging costs and hedge ratios.
  • OAS: Option-adjusted spread, accounting for FX hedging costs and hedge ratios.
  • WAL: Weighted Average Life (similar to duration but calculated using undiscounted cashflows). Also known as "Effective Maturity."

Editing values in this tab will automatically refresh all statistics and SCR calculations.

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