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Scope of the spread risk sub-module

capital requirement for spread risk formula

Spread risk on bonds and loans

capital requirement for spread risk on bonds

Spread risk on securitisation positions: calculation of the capital requirement

capital requirement for spread risk on type 1 securitisation positions; capital requirement for spread risk on type 2 securitisation position; capital requirement for spread risk on resecuritisation positions formulas

Spread risk on credit derivatives

capital requirement for spread risk on credit derivative

Specific exposures

Exposures in the form of bonds and loans risk factor stress assigned in different situations

Application of the spread risk scenarios to matching adjustment portfolios

Single name exposure

capital requirement for market risk concentration calculation

Calculation of the capital requirement for market risk concentration

capital requirement for market risk concentration

Flood risk sub-module

Capital Requirement for flood risk set out as well as the the different scenarios encompassed.

Hail risk sub-module

Capital Requirements for hail risk sub-module