SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

The Stats tab

The "Stats" tab, as shown in the screenshot above, contains a lot of textbox outputs. Where there is a checkbox to the right of any textbox, you can click it to add line-level data in the main table above. Below are explanations of the textboxes:

  • MV Market Value of the Portfolio in its Base Currency.
  • Cash Yld Cash yield of the Portfolio in its Base Currency in percentage terms - including coupons from bonds, rental yields from properties and dividend yields from equities - taking into account any FX hedging costs and hedge ratio.
  • Exp Ret Expected Return of the Portfolio in percentage terms, taking into account any FX hedging costs and hedge ratio.
  • Rating Index A numerical index representing notch-level average credit quality of the portfolio: 1=Aaa, 2=Aa1, 3=Aa2, 4=Aa3, 5=A1, 6=A2, 7=A3, 8=Baa1, 9=Baa2, 10=Baa3, 11=Ba1, 12=Ba2, 13=Ba3, etc.
  • Rating The average rating of fixed income assets in the portfolio.
  • MV FI Total MV of Fixed Income assets.
  • MV Growth Total MV of Growth Assets (equities and properties).
  • MV Cash Total MV of Cash.
  • MV Deriv Total MV of Derivatives (equity options and CDS).
  • MacDur Port Average Macaulay Duration (cashflow-weighed) of the portfolio.
  • ModDur Port Average Modified Duration (= Macaulay Duration / (1+yield)) of the portfolio.
  • EffDur Port Average Effective Duration ( = (MVyield_down - MVyield_up)/(2*Δyield)) of the portfolio.
  • Convex Port Average Convexity (cashflow-weighed) of the portfolio.
  • EffConv Port Average Effective Convexity ( = (Durationyield_down - Durationyield_up)/Δyield) of the portfolio.
  • MacDur FI Average Macaulay Duration of the fixed income assets within the portfolio.
  • ModDur FI Average Modified Duration of the fixed income assets within the portfolio.
  • EffDur FI Average Effective Duration of the fixed income assets within the portfolio.
  • Convex FI Average Convexity of the fixed income assets within the portfolio.
  • EffCon FI Average Effective Convexity of the fixed income assets within the portfolio.
  • Yield Average Yield of fixed income assets in the portfolio, taking into account any FX hedging costs and hedge ratio.
  • OAS Option-adjusted spread, taking into account any FX hedging costs and hedge ratio.
  • WAL "Weighted Average Life", similar to duration but cashflows are undiscounted in the calculation. Also called "Effective Maturity".