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 asMacaulay 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.