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Spread Risk CQS Stress

Calculate the Credit Quality Step Stress instantly.

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Credit Quality Step Stress

15.5%

1Step 1

Floored Duration

Floored Duration=max⁡(Modified Duration,1)\textit{Floored Duration} = \max(\textit{Modified Duration}, 1)
2Step 2

Duration Above Anchor

Duration Above Anchor=max⁡(0,Floored Duration−Selected Row Anchor Duration)\textit{Duration Above Anchor} = \max(0, \textit{Floored Duration} - \textit{Selected Row Anchor Duration})
3Step 3

Uncapped Stress

Uncapped Stress=Selected Row Intercept+Selected Row Slope×Duration Above Anchor\textit{Uncapped Stress} = \textit{Selected Row Intercept} + \textit{Selected Row Slope} \times \textit{Duration Above Anchor}
4Step 4

Credit Quality Step Stress

Credit Quality Step Stress=min⁡(Uncapped Stress,100)\textit{Credit Quality Step Stress} = \min(\textit{Uncapped Stress}, 100)

Understand the Spread Risk CQS Stress

Overview

This calculator is an atomistic spread-risk building block for the CQS duration-table branch of bonds and loans.[1] It calculates one selected stress percentage from the legal duration-band parameters before any instrument market value is applied.

Input Terms

  • Modified Duration: The bond or loan duration in years, floored at one year for the spread-risk calculation.
  • Selected Row Intercept: The `a_i` value for the applicable CQS and duration band. Use `0` for the up-to-5-years row.
  • Selected Row Slope: The `b_i` value for the applicable CQS and duration band.
  • Selected Row Anchor Duration: The lower bound of the selected duration band. Use `0` for the up-to-5-years row.

Technical Rationale

The CQS branch separates the legal stress lookup from the instrument capital charge. This page only calculates the stress percentage for a selected CQS/duration-band row. Feed the resulting stress into `Spread Risk Instrument Capital Charge`.

Important Notes

  • Calculator placement: This is a calculator, not an engine. It owns one formula step: selected CQS duration-row stress.
  • Prepared-input note: The selected legal row parameters are prepared inputs. Confirm the correct CQS and duration band before relying on the result.
  • Scope boundary: This page does not classify the asset, determine CQS, test exemptions, or aggregate instrument charges.

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 176 (Spread risk on bonds and loans) - 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.