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 1.15.0.0 Last modified 2024-7-15

The Stats tab

Responsive image

The "Stats" tab, as shown in the screenshot above, contains a lot of textbox outputs. Where there is a checkbox to the right of any textbox, you can click it to add line-level data in the main table above. Below are explanations of the textboxes:

  • MV Market Value of the Portfolio in its Base Currency.
  • Cash Yld Cash yield of the Portfolio in its Base Currency in percentage terms - including coupons from bonds, rental yields from properties and dividend yields from equities - taking into account any FX hedging costs and hedge ratio.
  • Exp Ret Expected Return of the Portfolio in percentage terms, taking into account any FX hedging costs and hedge ratio.
  • Rating Index A numerical index representing notch-level average credit quality of the portfolio: 1=Aaa, 2=Aa1, 3=Aa2, 4=Aa3, 5=A1, 6=A2, 7=A3, 8=Baa1, 9=Baa2, 10=Baa3, 11=Ba1, 12=Ba2, 13=Ba3, etc.
  • Rating The average rating of fixed income assets in the portfolio.
  • MV FI Total MV of Fixed Income assets.
  • MV Growth Total MV of Growth Assets (equities and properties).
  • MV Cash Total MV of Cash.
  • MV Deriv Total MV of Derivatives (equity options and CDS).
  • MacDur Port Average Macaulay Duration (cashflow-weighed) of the portfolio.
  • ModDur Port Average Modified Duration (= Macaulay Duration / (1+yield)) of the portfolio.
  • EffDur Port Average Effective Duration ( = (MVyield_down - MVyield_up)/(2*Δyield)) of the portfolio.
  • Convex Port Average Convexity (cashflow-weighed) of the portfolio.
  • EffConv Port Average Effective Convexity ( = (Durationyield_down - Durationyield_up)/Δyield) of the portfolio.
  • MacDur FI Average Macaulay Duration of the fixed income assets within the portfolio.
  • ModDur FI Average Modified Duration of the fixed income assets within the portfolio.
  • EffDur FI Average Effective Duration of the fixed income assets within the portfolio.
  • Convex FI Average Convexity of the fixed income assets within the portfolio.
  • EffCon FI Average Effective Convexity of the fixed income assets within the portfolio.
  • Yield Average Yield of fixed income assets in the portfolio, taking into account any FX hedging costs and hedge ratio.
  • OAS Option-adjusted spread, taking into account any FX hedging costs and hedge ratio.
  • WAL "Weighted Average Life", similar to duration but cashflows are undiscounted in the calculation. Also called "Effective Maturity".

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