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Spread Risk Instrument Risk

Calculate the Instrument Risk Amount instantly.

€
%

Instrument Risk Amount

€1 500 000

Spread Instrument Shock Impact

Shock charge
Retained value
ModuleShockPre-shockPost-shockCharge
Market Value-15%10 000 000 €8 500 000 €1 500 000 €
1Step 1

Effective Stress

Effective Stress=min⁡(100,max⁡(0,Selected Stress))\textit{Effective Stress} = \min(100, \max(0, \textit{Selected Stress}))
2Step 2

Instrument Risk Amount

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

Understand the Spread Risk Instrument Risk

Overview

Under Article 176, one instrument's market value and selected stress percentage determine the spread-risk capital requirement.[1]

Input Terms

  • Market Value: The value of the instrument being stressed.[1]
  • Selected Stress: The stress percentage from the applicable spread stress branch or legal treatment.[1]
  • Exempt Exposure: A binary flag used when the selected treatment reduces the effective stress to zero.[1]

Technical Rationale

The instrument risk amount is the exposure-level capital amount between stress selection and portfolio aggregation. A distinct instrument-level basis keeps the legal stress branch visible and prevents unsupported treatments from being forced into the same Article 176 basis.

Important Notes

  • Instrument-level basis: The result is limited to one instrument's spread-risk capital requirement.
  • Prepared-input note: The selected stress must be supported by the relevant Article 176 or Article 180 branch evidence.
  • Scope boundary: Legal stress-branch classification and portfolio aggregation remain separate assessments.

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.