Setting up Tabular Standard Formula SCR calculations

Model entry and SCR calculation sheets can be added into Tabular returns by making the appropriate selections from additional setup sections in the SCR tab of Return Setup.

You have to select ‘Utilising Tabular for calculations SCR’ checkbox in the SCR calculation configurations section if you utilise the Tabular SCR calculations capabilities.

This section is to capture general rules regards your SCR calculation frequency and preferences – it doesn’t, by itself, determine if the SCR calculation sheets should be generated in any particular return.

After this SCR calculation configuration section will expand.

SCR frequency

Here you can select the normal frequency for SCR calculations in the ‘Frequency of SCR calculations’ dropdown: Annually or Quarterly.

This allows Tabular to automatically set which sheet categories to include in the quarterly return.

Include non-QRT sheets when not calculating SCR in a return

Also, you are able to include non-QRT sheets when not calculating SCR in a return (e.g. you may wish to always populate the INV model inputs sheets, even in quarterly returns where you are not calculating the SCR, to standardise the outputs from your internal system). For this you have 2 checkboxes:

- Include the model entry sheets – in case you would prefer to still include ‘model entry’ sheets within the return

- Include the SCR calculation sheets – in case you would prefer to still include ‘SCR calculation result’ sheets within the return
Note: Ticking this checkbox will flag to Tabulat to also include the ‘model entry’ sheets within the return, as the SCR calculation results are read-only and can only be populated through data entered in the model entry sheets and then running the SII model refresh button.

Method of interpolating the Risk free rate

EIOPA does not provide explicit instructions on how to interpolate the risk-free rate for durations between 1 and the UFR duration. As such, in Tabular you can choose one of these options to direct Tabular to utilise the interpolated RSR from the EIOPA mandated term-structure in ‘Approach to interpolating risk-free rate term structures dropdown.

Method of calculation the Risk margin

In the ‘Method to calculate the risk margin’ dropdown you can select which of EIOPA methods should be used for calculating the risk margin within Tabular:
- Method 1 – approximate the individual risks or sub-risks
- Method 2 – approximate the whole SCR for each future year, using the ratio of the BE at the future to BE at the valuation date
- Method 3 – approximate the discounted sum of the future SCR in a single step, using the modified duration of the insurance liabilities
- Method 4 – approximate the risk margin by calculation it as a percentage of the BE