SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Interest Rate Swaps

The "Combo ID" method can be used on arbitrary sets of assets, so you can model complicated assets' SCRs easily. Swaps and convertibles are two prime examples.

Interest Rate Swaps can be implemented as a "Combo Asset" with two legs - a floating rate bond and a fixed rate bond with equal and opposite notionals. In the SCR Calculator, if you assign a common "Combo ID" to two government bonds, they will be considered an interest rate swap.

The Fixed Leg:

The Floating Leg:

Added to a portfolio, with the same ComboID. Note that their total SCRs are shown as zero, but if you click individual SCR columns, you will see the fixed rate leg does have interest rate SCRs, while the floating rate leg has no interest rate SCR. Their spread SCRs are both zero.

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.

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.