SCR Calculator User Manual

Cashflows, Curves & Sensitivities

The Cashflows Curves & Sensitivities form always appears below the main form, and it does several things:

• For fixed income assets, it models cashflows and does goal-seeking of bond duration, convexity and other sensitivities.
• For equity options, it uses Black Scholas formula to calibrate the implied volatility.
• For CDS, it goal seeks the implied annual default rate.

There is a drop-down menu for the user to select the regime. The cashflows and curves are all available for download:

For callable/puttable bonds, the downloaded spreadsheet will also contain a couple of tabs named "CallPutPV_Base", "CallPutPV_CurveUp" and "CallPutPV_Curvedown". These tabs contain the decision-making PV parameters used to determine which option is most likely used and hence cashflows projected. For more details, see Appendix II.1 Modelled Cashflows with Optionality.

These information are used to support the SCR calculation described previously, but there are also additional ways in which you can utilise this panel:

• To work out yield and sensitivities of a fixed income asset when such information is not readily given, but only coupon, maturity etc. are given, as is usually the case with private debt.
• To calculate the variable cashflows of a floating rate asset under different yield curve scenarios.
• To obtain the rate sensitivity and cashflow patterns of a complicated asset, such as a mortgage.

This form is designed to be an independent form so that you can enlarge it to have a better view of the cashflows and curves in detail.