SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

The 'Current' Tab

In the 'Current' tab, click 'Import BBG Input' button, select the example inputsheet to import, select the "Current" tab and the following will appear:

The main table is a replica of the input spreadsheet, with a few auto-added data fields:

  • Lb, Ub means 'Lower bound', 'Upper bound' respectively for each asset. For the 'Current' portfolio, 'Lb' is set to zero throughout, while 'Ub' is set to the current allocation weight. (The SCR calculator assumes that current assets can only be possibly sold, hence. If you wish to observe the effect of increasing allocation to current portfolio assets, you can include the same set of assets in the 'New' tab.)
  • DtS means 'Duration times Spread', which equals the product of the 'Duration to Worst' and 'OAS vs Swap' columns.
  • Rating Index a notch-level integer reflecting the rating of the asset. AAA=1, Aa1=2, Aa2=3, Aa3=4, A1=5, A2=6, A3=7, Baa1=8, Baa2=9, Baa3=10, Unrated=10.5, Ba1=11, Ba2=12, Ba3=13, B1=14, B2=15, B3=16, CCC=17.

The row of stats boxes underneath the main table are auto-calculated, read-only. They are fairly self-explanatory:

  • Duration weighted-average duration of the portfolio.
  • Rating weighted-average credit rating of the portfolio.
  • Max Maturity the maximum maturity of all assets.
  • Max % the maximum allocation to any single asset.
  • YTW weighted-average Yield-to-Worst of the portfolio.
  • DtS weighted-average Duration-times-Spread of the portfolio.
  • OAS weighted-average Option-adjusted Spread of the portfolio.
  • Non-IG % non-investment-grade assets percentage in the portfolio.
  • Sub % Subordinated assets percentage in the portfolio.
  • Max % AOB Maximum percentage of amount outstanding bought of any single issuance.
  • Min AO Minimum amount outstanding of issuances in the portfolio.

To the lower left:

  • Set 'Upper Bound' Per Asset to Current Weights this button is provided in case the user modified 'Ub' column values but wants to revert to the original setting quickly.
  • Add Cashflows to DataTable This section allows you to add projected bond-level cashflows to the datatable for use in optimisation. You can choose the frequency - annually, quarterly or monthly, and cut-off period, after which the cashflows are not added. This facility is useful when there is a short-term cashflow need out of the portfolio; and you want to optimise which bonds to sell so as to generate just enough cashflows while maintaining the efficiency of the remaining portfolio.

To the lower middle:

  • Display stats of a numeric column Since there are many columns in the datatable, this facility is provided for the user to conveniently choose one and examine the statistics. Once selected/changed, the six stats boxes below will update.
  • Draw RHS chart of a non-numeric columnChoosing/changing an entry here will update the column chart on the right hand side, which shows the disctinct entries and their weights in the column.

To the lower right is the column chart of composition weights of the chosen non-numeric column. It can be exported in PowerPoint or image format.