Skip to content

Interest Rate Stress Valuation Scope

Calculate the Interest Rate Scope Governance Gate Flag (0/1) instantly.

€
€
€
€
%
€
€
€
€
€
€
€

Interest Rate Scope Governance Gate Flag (0/1)

1

1Step 1

Excluded Rate-Sensitive Assets

Excluded Rate-Sensitive Assets=max⁡(0,Total Rate-Sensitive Assets−Included Rate-Sensitive Assets)\textit{Excluded Rate-Sensitive Assets} = \max(0, \textit{Total Rate-Sensitive Assets} - \textit{Included Rate-Sensitive Assets})
2Step 2

Excluded Rate-Sensitive Liabilities

Excluded Rate-Sensitive Liabilities=max⁡(0,Total Rate-Sensitive Liabilities−Included Rate-Sensitive Liabilities)\textit{Excluded Rate-Sensitive Liabilities} = \max(0, \textit{Total Rate-Sensitive Liabilities} - \textit{Included Rate-Sensitive Liabilities})
3Step 3

Asset Inclusion Coverage

Asset Inclusion Coverage={0Total Rate-Sensitive Assets≤0100×Included Rate-Sensitive AssetsTotal Rate-Sensitive AssetsTotal Rate-Sensitive Assets>0\textit{Asset Inclusion Coverage} = \begin{cases}0 & \textit{Total Rate-Sensitive Assets} \le 0 \\ 100 \times \frac{\textit{Included Rate-Sensitive Assets}}{\textit{Total Rate-Sensitive Assets}} & \textit{Total Rate-Sensitive Assets} > 0\end{cases}
4Step 4

Liability Inclusion Coverage

Liability Inclusion Coverage={0Total Rate-Sensitive Liabilities≤0100×Included Rate-Sensitive LiabilitiesTotal Rate-Sensitive LiabilitiesTotal Rate-Sensitive Liabilities>0\textit{Liability Inclusion Coverage} = \begin{cases}0 & \textit{Total Rate-Sensitive Liabilities} \le 0 \\ 100 \times \frac{\textit{Included Rate-Sensitive Liabilities}}{\textit{Total Rate-Sensitive Liabilities}} & \textit{Total Rate-Sensitive Liabilities} > 0\end{cases}
5Step 5

Asset Coverage Pass Flag (0/1)

Asset Coverage Pass Flag (0/1)=gte⁡(Asset Inclusion Coverage,Minimum Inclusion Coverage)\textit{Asset Coverage Pass Flag (0/1)} = \operatorname{gte}\left(\textit{Asset Inclusion Coverage}, \textit{Minimum Inclusion Coverage}\right)
6Step 6

Liability Coverage Pass Flag (0/1)

Liability Coverage Pass Flag (0/1)=gte⁡(Liability Inclusion Coverage,Minimum Inclusion Coverage)\textit{Liability Coverage Pass Flag (0/1)} = \operatorname{gte}\left(\textit{Liability Inclusion Coverage}, \textit{Minimum Inclusion Coverage}\right)
7Step 7

Asset Revaluation Delta

Asset Revaluation Delta=Asset Value Before Stress−Asset Value After Basic RFR Stress\textit{Asset Revaluation Delta} = \textit{Asset Value Before Stress} - \textit{Asset Value After Basic RFR Stress}
8Step 8

Liability Revaluation Delta

Liability Revaluation Delta=Liability Value After Basic RFR Stress−Liability Value Before Stress\textit{Liability Revaluation Delta} = \textit{Liability Value After Basic RFR Stress} - \textit{Liability Value Before Stress}
9Step 9

Net Revaluation Loss

Net Revaluation Loss=max⁡(0,Asset Revaluation Delta+Liability Revaluation Delta)\textit{Net Revaluation Loss} = \max(0, \textit{Asset Revaluation Delta} + \textit{Liability Revaluation Delta})
10Step 10

Spread Component Gap

Spread Component Gap=Spread Component After Stress−Spread Component Before Stress\textit{Spread Component Gap} = \textit{Spread Component After Stress} - \textit{Spread Component Before Stress}
11Step 11

Spread Component Absolute Gap

Spread Component Absolute Gap=max⁡(Spread Component Gap,1×Spread Component Gap)\textit{Spread Component Absolute Gap} = \max(\textit{Spread Component Gap}, 1 \times \textit{Spread Component Gap})
12Step 12

Spread Component Unchanged Flag (0/1)

Spread Component Unchanged Flag (0/1)=lte⁡(Spread Component Absolute Gap,Spread Component Tolerance)\textit{Spread Component Unchanged Flag (0/1)} = \operatorname{lte}\left(\textit{Spread Component Absolute Gap}, \textit{Spread Component Tolerance}\right)
13Step 13

Interest Rate Scope Governance Gate Flag (0/1)

Interest Rate Scope Governance Gate Flag (0/1)=min⁡(Asset Coverage Pass Flag (0/1),Liability Coverage Pass Flag (0/1),Spread Component Unchanged Flag (0/1),TP Recalculated (0/1))\textit{Interest Rate Scope Governance Gate Flag (0/1)} = \min(\textit{Asset Coverage Pass Flag (0/1)}, \textit{Liability Coverage Pass Flag (0/1)}, \textit{Spread Component Unchanged Flag (0/1)}, \textit{TP Recalculated (0/1)})
14Step 14

Interest Rate Scope Governance Breach Flag (0/1)

Interest Rate Scope Governance Breach Flag (0/1)=1−Interest Rate Scope Governance Gate Flag (0/1)\textit{Interest Rate Scope Governance Breach Flag (0/1)} = 1 - \textit{Interest Rate Scope Governance Gate Flag (0/1)}

Understand the Interest Rate Stress Valuation Scope

Overview

This calculator implements the EIOPA 2026 interest-rate stress valuation-scope control.[1] It checks that rate-sensitive assets and liabilities are included, that technical provisions are recalculated under the shocked basic risk-free curve, and that asset spreads over the basic risk-free curve are not inadvertently shocked in the interest-rate module.

Input Terms

  • Total / Included Rate-Sensitive Assets and Liabilities: Scope-control values used to verify that all relevant balance-sheet items are captured.
  • Asset and Liability Values Before / After Basic RFR Stress: The valuation inputs used to derive the net revaluation loss from the interest-rate stress.
  • Spread Components Before / After Stress: Controls evidencing that spreads over the basic risk-free curve remain unchanged in this calculator.
  • Technical Provisions Recalculated Flag: Evidence that liabilities were remeasured using the shocked risk-free term structure.

Technical Rationale

EIOPA Guideline 2 states that all interest-rate-sensitive assets and liabilities should be included in the interest-rate sub-module. Technical provisions should be recalculated using the stressed risk-free interest-rate term structure, while asset valuation should stress only the basic risk-free term structure and leave spreads unchanged. This calculator isolates that scope and valuation-control step from the final interest-rate SCR calculation.

Important Notes

  • Latest EIOPA update: This page reflects the revised EIOPA Guidelines on market and counterparty risk exposures published on 13 February 2026.
  • Atomistic output: The primary output is a governance gate confirming scope and spread isolation, not a replacement for the interest-rate SCR.
  • No spread double count: A spread-component breach indicates that the interest-rate stress input may be mixing spread risk into the RFR stress.
  • Downstream handoff: Use the net revaluation loss and gate result to support the full interest-rate risk calculator.

Sources

  1. EIOPA 2026 Guidelines on market and counterparty risk exposures - EIOPA

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.