SCR Calculator User Manual

Overview

The Tripartite Reader is available from Menu → Open Sub Form → Tripartite Reader.

It can produce all the 11 required SCR columns for an arbitrary Tripartite report:

• "97_SCR_mrkt_IR_up_weight_over_NAV"
• "98_SCR_mrkt_IR_down_weight_over_NAV"
• "99_SCR_mrkt_eq_type1_weight_over_NAV"
• "100_SCR_mrkt_eq_type2_weight_over_NAV"
• "101_SCR_mrkt_prop_weight_over_NAV"
• "102_SCR_mrkt_spread_bonds_weight_over_NAV"
• "103_SCR_mrkt_spread_structured_weight_over_NAV"
• "104_SCR_mrkt_spread_derivatives_up_weight_over_NAV"
• "105_SCR_mrkt_spread_derivatives_down_weight_over_NAV"
• "105a_SCR_mrkt_FX_up_weight_over_NAV"
• "105b_SCR_mrkt_FX_down_weight_over_NAV"

Besides, it can also:

• summarise information - organise the asset row information in a human-friendly format in an output box.
• compare with previous SCRs - if there are older SCR calculations.
• provide opinion - e.g. where there is a call date, it can judge whether the bond is likely to be called and calculate the SCR accordingly.
• provide context- for each Tripartite column, reference the definition, required data format and relevant CIC codes.

It can process SCRs on almost all CIC codes, except for a few less used derivatives types. In the table below, 'yellow's are not implemented and 'cyan's are implemented but not tested. The other entries are all tested.