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Spread Risk Unrated Collateralized Stress

Calculate the Collateralized Stress instantly.

€
€
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Collateralized Stress

23.5%

1Step 1

Collateral Coverage Ratio

Collateral Coverage Ratio={0Bond or Loan Value≤0100×Risk-Adjusted Collateral ValueBond or Loan ValueBond or Loan Value>0\textit{Collateral Coverage Ratio} = \begin{cases}0 & \textit{Bond or Loan Value} \le 0 \\ 100 \times \frac{\textit{Risk-Adjusted Collateral Value}}{\textit{Bond or Loan Value}} & \textit{Bond or Loan Value} > 0\end{cases}
2Step 2

Full Collateral Cover

Full Collateral Cover=gte⁡(Risk-Adjusted Collateral Value,Bond or Loan Value)\textit{Full Collateral Cover} = \operatorname{gte}\left(\textit{Risk-Adjusted Collateral Value}, \textit{Bond or Loan Value}\right)
3Step 3

spread_collateralized_shortfall_flag

spread_collateralized_shortfall_flag=1−Full Collateral Cover\textit{spread\_collateralized\_shortfall\_flag} = 1 - \textit{Full Collateral Cover}
4Step 4

spread_collateralized_unrated_stressed_value

spread_collateralized_unrated_stressed_value=Bond or Loan Value×1−Unsecured Unrated Stress\textit{spread\_collateralized\_unrated\_stressed\_value} = \textit{Bond or Loan Value} \times 1 - \textit{Unsecured Unrated Stress}
5Step 5

spread_collateralized_stressed_value_below_collateral_flag

spread_collateralized_stressed_value_below_collateral_flag=gte⁡(Risk-Adjusted Collateral Value,spread_collateralized_unrated_stressed_value)\textit{spread\_collateralized\_stressed\_value\_below\_collateral\_flag} = \operatorname{gte}\left(\textit{Risk-Adjusted Collateral Value}, \textit{spread\_collateralized\_unrated\_stressed\_value}\right)
6Step 6

spread_collateralized_average_branch_flag

spread_collateralized_average_branch_flag=spread_collateralized_shortfall_flag×spread_collateralized_stressed_value_below_collateral_flag\textit{spread\_collateralized\_average\_branch\_flag} = \textit{spread\_collateralized\_shortfall\_flag} \times \textit{spread\_collateralized\_stressed\_value\_below\_collateral\_flag}
7Step 7

spread_collateralized_unsecured_branch_flag

spread_collateralized_unsecured_branch_flag=spread_collateralized_shortfall_flag×1−spread_collateralized_stressed_value_below_collateral_flag\textit{spread\_collateralized\_unsecured\_branch\_flag} = \textit{spread\_collateralized\_shortfall\_flag} \times 1 - \textit{spread\_collateralized\_stressed\_value\_below\_collateral\_flag}
8Step 8

spread_collateralized_full_cover_stress_percent

spread_collateralized_full_cover_stress_percent=Unsecured Unrated Stress2\textit{spread\_collateralized\_full\_cover\_stress\_percent} = \frac{\textit{Unsecured Unrated Stress}}{2}
9Step 9

Collateral Shortfall Ratio

Collateral Shortfall Ratio={0Bond or Loan Value≤0100×max⁡(0,Bond or Loan Value−Risk-Adjusted Collateral Value)Bond or Loan ValueBond or Loan Value>0\textit{Collateral Shortfall Ratio} = \begin{cases}0 & \textit{Bond or Loan Value} \le 0 \\ 100 \times \frac{\max(0, \textit{Bond or Loan Value} - \textit{Risk-Adjusted Collateral Value})}{\textit{Bond or Loan Value}} & \textit{Bond or Loan Value} > 0\end{cases}
10Step 10

spread_collateralized_average_stress_percent

spread_collateralized_average_stress_percent=Unsecured Unrated Stress+Collateral Shortfall Ratio2\textit{spread\_collateralized\_average\_stress\_percent} = \frac{\textit{Unsecured Unrated Stress} + \textit{Collateral Shortfall Ratio}}{2}
11Step 11

Collateralized Stress

Collateralized Stress=Full Collateral Cover×spread_collateralized_full_cover_stress_percent+spread_collateralized_average_branch_flag×spread_collateralized_average_stress_percent+spread_collateralized_unsecured_branch_flag×Unsecured Unrated Stress\textit{Collateralized Stress} = \textit{Full Collateral Cover} \times \textit{spread\_collateralized\_full\_cover\_stress\_percent} + \textit{spread\_collateralized\_average\_branch\_flag} \times \textit{spread\_collateralized\_average\_stress\_percent} + \textit{spread\_collateralized\_unsecured\_branch\_flag} \times \textit{Unsecured Unrated Stress}

Understand the Spread Risk Unrated Collateralized Stress

Overview

This calculator is an atomistic spread-risk building block for unrated bonds and loans with qualifying collateral.[1] It derives the effective collateralized stress from the unsecured unrated stress and the risk-adjusted collateral value.

Input Terms

  • Bond or Loan Value: The value of the unrated bond or loan.
  • Risk-Adjusted Collateral Value: The collateral value after applying the relevant collateral valuation rules.
  • Unsecured Unrated Stress: The stress percentage from the unrated uncollateralized stress calculator for the same instrument duration.

Technical Rationale

Collateral changes the effective stress applied to an unrated bond or loan. This page keeps that branch separate from both the CQS stress table and the unsecured unrated duration curve.

Important Notes

  • Calculator placement: This is a calculator, not an engine. It owns one collateralized unrated stress branch.
  • Prepared-input note: Collateral recognition and risk-adjusted value are prepared inputs here. They must come from a separate collateral evidence process.
  • Scope boundary: This page does not calculate the unsecured unrated duration stress, determine collateral eligibility, or aggregate capital.

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.