Spread risk on securitisation positions: calculation of the capital requirement

1. The capital requirement for spread risk on type 1 securitisation positions shall be equal to the loss in the basic own funds that would result from an instantaneous relative decrease of stress i in the value of each type 1 securitisation position i. The risk factor stress i shall be equal to the following:

stress i= min(b i * dur i;1)

where:

(a) dur i denotes the modified duration of securitisation position i denominated in years;

(b) b i shall be assigned depending on the credit quality step of securitisation position i according to the following table (see here for the table).

2. The capital requirement for spread risk on type 2 securitisation position shall be equal to the loss in the basic own funds that would result from an instantaneous relative decrease of stressi in the value of each type 2 securitisation position i. The risk factor stressi shall be equal to the following

stress i= min(b i * dur i; 1)

where:

(a) dur i denotes the modified duration of securitisation position i denominated in years;

(b) b i shall be assigned depending on the credit quality step of securitisation position i according to the following table (see here for the table).

3. The capital requirement for spread risk on resecuritisation positions shall be equal to the loss in the basic own funds that would result from an instantaneous relative decrease of stressi in the value of each resecuritisation position i. The risk factor stressi shall be equal to the following

stress i= min(bi*dur i;1)

where:

(a) dur i denotes the modified duration of resecuritisation position i denominated in years;

(b) bi shall be assigned depending on the credit quality step of resecuritisation position i according to the following table (see here for the table).

4. The modified duration dur i referred to in paragraphs 1 and 2 shall not be lower than 1 year.

5. Securitisation positions for which a credit assessment from a nominated ECAI is not available shall be assigned a risk factor stress i of 100 %.