SCR Calculator User Manual

Inputsheet

The Fixed Income Portfolio Optimiser needs an input spreadsheet that:

• Must contain two tabs: "Current" and "New" both based on the same Bloomberg data fields layout. The former contains the current portfolio line-level information (typically 100-200 bonds), while the latter can be an index universe containing several thousand bonds.
• Mandatory Bloomberg datafields include: Cusip, ISIN, Description, Ticker, Coupon, Maturity, Composite Rating, Currency, Country, Sector Level 1, Sector Level 2, Sector Level 3, Sector Level 4, Type, Face Value, Price, Accrued Interest, % Weight, Duration To Worst, Yield to Worst, Effective Duration, OAS vs Swap. The example inputsheet contains figures for these columns.
• Optional, non-Bloomberg datafields include: Unrealized G/L, ESG Score, Carbon Intensity Scope 1, Carbon Intensity Scope 2, Carbon Intensity Scope 3, Amount Outstanding. There are similarly named Bloomberg fields to these, but the user must ensure these exact column names are used. The example inputsheet contains dummy figures for these columns.

A downloadable example input spreadsheet is provided below and used throughout this section. This spreadsheet is also downloadable in the software from Menu → Help → Download Demo Inputs. It can be used as a template for building a new inputsheet. The red coloured columns are the optional fields.