SCR Calculator User Manual

Settings

The first two rows of inputs are the Settings, which are important as they affect not only single asset calculation here, but also all calculations in all functional forms:

• Auto Web Explain

  This checkbox, default to be ticked, allows the SCR Calculator software to display an API-based explanatory note upon every single asset SCR calculation. This involves transmitting a number of parameters to the server API and obtaining the tailored explanatory notes. If the user unticks it, no parameters will be transmitted and no explanatory notes will be obtained.

  Note that this checkbox only affects the single asset SCR calculation. In the case of the Portfolio SCR calculations, no user data or parameters are transmitted under any circumstances.

• Monthly Data

  This button downloads the monthly dataset corresponding to the Valuation Date. It was already auto-clicked upon App start. If you changed the Valuation Date, it will self-reclick (takes a few seconds).

• Valuation Date

  Usually the closest past month end date, except with a 3-5 days' delay if you are at a month beginning.

• Base Currency

  Base Currency is just the portfolio currency of the investor (as opposed to Local/Issuance Currency of a financial asset).

• Show SCR as %/£

  This toggle will instantly switch any calculated SCR figures between percentage format and monetary amounts.

• Currency Risk

  If unticked, currency risk SCR will not be calculated. Sometimes we want to focus on other SCR types.

• Int Rate Risk

  If unticked, interest rate risk SCR will not be calculated. Sometimes we want to focus on other SCR types.

  • Keep Positive

    This option, when ticked, keeps the interest rate SCR figure positive (positive = stress).

  • Up / Down

    This controls the direction of the interest rate SCR calculation.

• Concentration Risk

  Most of the time we want to exclude it.

• Yield Convention

  Bond yield convention means a yield shown as 6% with semi-annual coupon actually means a (1+3%)^2 -1 = 6.09% compound yield on an annualised basis.

• No Neg EqSCR

  Equity SCR can be negative e.g. for a short call. If this checkbox is ticked, all equity SCRs are kept positive.