SCR Calculator User Manual

Once an inputsheet is imported, the SCR Calculator will check for duplicate IDs, invalid numeric values and any additional currency or yield curves needed. In the next few sections, we explain each of the tabs in the central bottom area of the form. These tabs contain useful inputs and outputs.

The FX tab

The FX tab contains foreign currency exchange rates and hedging costs, for each foreign currency incurred in the portfolio.

• The 1st column, "Foreign Currency", has been populated by the calculator after it scrutinises the currency composition of the portfolio. The user does not need to edit this column.
• The 2nd column, "Exchange Rate to 1 Base Currency", is auto-populated by the calculator. The user does not need to edit this column unless there is a missing FX rate (not in the calculator's database).
• The next 4 columns are FX hedging costs and are input columns for the user to edit. At least one value per row for these 4 columns is needed and the input unit is "bps". As a convenience, the 1y tenor hedging costs is pre-populated with zeros. The SCR Calculator does a linear interpolation in between these FX hedging costs for asset of a particular duration. The more tenors are entered, the more accurate the hedged yields and returns will be.
• The last 2 columns are the exposures in local currency and in portfolio currency for each currency. The user does not need to edit these columns.

Upon every edit of this table, all the stats and SCRs will refresh.