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Spread Risk Instrument Capital Charge

Calculate the Instrument Charge instantly.

€
%

Instrument Charge

€1 500 000

1Step 1

Effective Stress

Effective Stress=Selected Stress×1−Exempt Row (0/1)\textit{Effective Stress} = \textit{Selected Stress} \times 1 - \textit{Exempt Row (0/1)}
2Step 2

Instrument Charge

Instrument Charge=Market Value×Effective Stress\textit{Instrument Charge} = \textit{Market Value} \times \textit{Effective Stress}

Understand the Spread Risk Instrument Capital Charge

Overview

This calculator is an atomistic spread-risk building block for converting one instrument's market value and selected stress percentage into a capital charge.[1]

Input Terms

  • Market Value: The value of the instrument being stressed.
  • Selected Stress: The stress percentage from the applicable spread stress calculator or treatment branch.
  • Exempt Row: A binary flag used when the selected treatment reduces the effective stress to zero.

Technical Rationale

The instrument charge is the row-level capital step between stress selection and portfolio aggregation. Keeping it separate makes the main spread-risk page easier to audit and prevents unsupported branches from being forced into one calculator.

Important Notes

  • Calculator placement: This is a calculator, not an engine. It owns one formula: market value multiplied by effective stress.
  • Prepared-input note: The selected stress is prepared here. It should come from the relevant stress calculator.
  • Scope boundary: This page does not choose the legal stress branch or aggregate multiple instruments.

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.