SCR Calculator User Manual
Version 1.17 Last modified 2025-4-6
Generating TPT Columns
The SCR Calculator can generate various columns for a hypothetical Tripartite Report as follows:
- 4_Portfolio_currency_(B)
- 5_Net_asset_valuation_of_the_portfolio_or_the_share_class_in_portfolio_currency
- 6_Valuation_date
- 7_Reporting_date
- 9_Cash_ratio
- 10_Portfolio_modified_duration
- 11_Complete_SCR_delivery
- 13_Economic_zone_of_the_quotation_place
- 14_Identification_code_of_the_instrument
- 17b_Asset_liability
- 19_Nominal_amount
- 21_Quotation_currency_(A)
- 22_Market_valuation_in_quotation_currency_(A)
- 24_Market_valuation_in_portfolio_currency_(B)
- 26_Valuation_weight
- 32_Interest_rate_type
- 33_Coupon_rate
- 38_Coupon_payment_frequency
- 39_Maturity_date
- 43_Call_put_date
- 52_Issuer_country
- 53_Issuer_economic_area
- 55_Covered_not_covered
- 57_Explicit_guarantee_by_the_country_of_issue
- 58_Subordinated_debt
- 59_Credit_quality_step
- 90_Modified_duration_to_maturity_date
- 97_SCR_mrkt_IR_up_weight_over_NAV
- 98_SCR_mrkt_IR_down_weight_over_NAV
- 99_SCR_mrkt_eq_type1_weight_over_NAV
- 100_SCR_mrkt_eq_type2_weight_over_NAV
- 101_SCR_mrkt_prop_weight_over_NAV
- 102_SCR_mrkt_spread_bonds_weight_over_NAV
- 103_SCR_mrkt_spread_structured_weight_over_NAV
- 104_SCR_mrkt_spread_derivatives_up_weight_over_NAV
- 105_SCR_mrkt_spread_derivatives_down_weight_over_NAV
- 105a_SCR_mrkt_FX_up_weight_over_NAV
- 105b_SCR_mrkt_FX_down_weight_over_NAV
- 1000_TPT_Version
Note: This functionality is distinct from the ability of the Portfolio SCR form to read an existing TPT report and calculate SCRs as previously described. Instead, this feature allows users to take an arbitrary portfolio and generate certain TPT columns that were not originally present.