SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Securitised Assets - MBS, ABS & CLO etc.

Securitised assets usually have complicated features and attract more regulatory capital requirement than credit bonds.

To approximate their cashflows for interest rate SCR purposes, we also use a PSA model, with some additional parameters:

  • DelayMths is set to be non-zero. Default value 12.
  • Annual Default default value 2%.
  • LGD is the Loss Given Default. Default value 60%.