SCR Calculator User Manual

Version 1.16.0.0 Last modified 2024-12-8

The Stats Tab

The "Stats" tab, as shown above, provides a range of output textboxes displaying key portfolio metrics. For textboxes with a checkbox on the right, you can click the checkbox to add line-level data to the main table above. Below is an explanation of the various textboxes:

  • MV: Market Value of the portfolio in its base currency.
  • Cash Yld: Cash yield of the portfolio in percentage terms, including income from bonds, rental properties, and dividends from equities, while factoring in FX hedging costs and hedge ratios.
  • Exp Ret: Expected return of the portfolio in percentage terms, accounting for FX hedging costs and hedge ratios.
  • Rating Index: A numerical representation of the average credit quality of the portfolio, measured at the notch level (e.g., 1 = Aaa, 2 = Aa1, 3 = Aa2, ..., 10 = Baa3, and so on).
  • Rating: The average credit rating of fixed income assets in the portfolio.
  • MV FI: Total market value of fixed income assets.
  • MV Growth: Total market value of growth assets (equities and properties).
  • MV Cash: Total market value of cash holdings.
  • MV Deriv: Total market value of derivatives (e.g., equity options, CDS).
  • MacDur Port: Average Macaulay duration (cashflow-weighted) of the portfolio.
  • ModDur Port: Average modified duration of the portfolio, calculated as Macaulay Duration / (1 + yield).
  • EffDur Port: Average effective duration of the portfolio, calculated as (MVyield_down - MVyield_up) / (2 * Δyield).
  • Convex Port: Average cashflow-weighted convexity of the portfolio.
  • EffConv Port: Average effective convexity of the portfolio, calculated as (Durationyield_down - Durationyield_up) / Δyield.
  • MacDur FI: Average Macaulay duration of fixed income assets in the portfolio.
  • ModDur FI: Average modified duration of fixed income assets in the portfolio.
  • EffDur FI: Average effective duration of fixed income assets in the portfolio.
  • Convex FI: Average convexity of fixed income assets in the portfolio.
  • EffCon FI: Average effective convexity of fixed income assets in the portfolio.
  • Yield: Average yield of fixed income assets in the portfolio, factoring in FX hedging costs and hedge ratios.
  • OAS: Option-adjusted spread, accounting for FX hedging costs and hedge ratios.
  • WAL: Weighted Average Life (similar to duration but calculated using undiscounted cashflows). Also known as "Effective Maturity."

Editing values in this tab will automatically refresh all statistics and SCR calculations.