BBG - SDR

Based on the most helpful WSO content, while there isn't a direct mention of calculating SDR spreads in the provided context, here are some general steps and tips you can use to approach this problem in Excel or with code:

1. Understand the Inputs:

   • Cash Amount: This is the upfront payment or premium.
   • Notional: The total value of the CDS contract.
   • CDS Ticker in SDR: This identifies the specific CDS contract.

2. Formula for Spread Calculation:

   • The spread can be calculated using the formula: $$ \text{Spread} = \frac{\text{Cash Amount}}{\text{Notional}} \times 10,000 $$
   • This converts the spread into basis points (bps).

3. Automating in Excel:

   • Set up columns for Cash Amount, Notional, and CDS Ticker.
   • Use a formula in a new column to calculate the spread: excel = (Cash_Amount / Notional) * 10000
   • Ensure the inputs are dynamic so you can update them daily.

4. Automating with Code:

   • If you're using Python, you can automate this with a simple script:

     import pandas as pd # Example DataFrame data = {'Cash_Amount': [100000, 200000], 'Notional': [10000000, 20000000], 'CDS_Ticker': ['CDS1', 'CDS2']} df = pd.DataFrame(data) # Calculate Spread df['Spread_bps'] = (df['Cash_Amount'] / df['Notional']) * 10000 print(df)
   • This script reads the inputs, calculates the spread, and outputs the results.

5. Additional Tips:

   • If you're pulling data from Bloomberg (BBG), you can use the Bloomberg API to fetch the Cash Amount, Notional, and CDS Ticker directly into your Excel or Python script.
   • For Excel, consider using VBA to automate the process further if you need to handle large datasets or repetitive tasks.

If you need more specific guidance or examples, feel free to ask!

Sources: DCF Modeling Course ~ Pre-training text.pdf, Automating Automation | The Daily Peel | 4/24/2023, DCF Myth 3.2: If you don't look, its not there!, Spreading Comps - Hand spread vs. CapIQ Spread?, Waterfall template attached