SCR Calculator User Manual

Convertible Bonds

Convertible Bonds can be implemented as a "Combo Asset" with two components - a corporate bond (often floating rate and high quality) and an equity call option. In the SCR Calculator, you need to assign a common "Combo ID" to these two assets, and ensure that the correct quantities are entered. See table below for detailed figures of an example convertible bond:

Inputs to the SCR Calculator for the corporate bond:

Inputs to the SCR Calculator for the call option:

If you add both assets to a portfolio, attaching the same ComboID, the SCR will be calculated appropriately at portfolio level, representing the SCR for this convertible bond:

If you export the portfolio, the 'ComboID=xxx;' will automatically be added to the 'Info' column of the inputsheet. Or you can manually edit to add such information, either directly in the portfolio form, or in the inputsheet.

If the convertible bond has multiple allowed conversion dates, you can enter each as a call option, thereby obtaining an accurate SCR estimate of the bond.

When there are many assets in the portfolio, you can use the "Combo ID filter" on the lower right corner to filter for specific combo assets and observe its standalone SCR.

For normal assets, you should leave the "Combo ID" empty.

The complete spreadsheet for this example: convertible_bond_case_study.xlsx

And the resulting portfolio inputsheet: convertible_bond_inputsheet.xlsx