Spread risk on securitisation positions: calculation of the capital requirement
Article 178
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: 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: Credit quality step 0 1 2 3 b i 2,1 % 3 % 3 % 3 % 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 stress i in the value of each type 2 securitisation position i . The risk factor stress i shall be equal to the following 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: Credit quality step 0 1 2 3 4 5 6 b i 12,5 % 13,4 % 16,6 % 19,7 % 82 % 100 % 100 % 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 stress i in the value of each resecuritisation position i . The risk factor stress i shall be equal to the following where: (a) dur i denotes the modified duration of resecuritisation position i denominated in years; (b) b i shall be assigned depending on the credit quality step of resecuritisation position i according to the following table: Credit quality step 0 1 2 3 4 5 6 b i 33 % 40 % 51 % 91 % 100 % 100 % 100 % 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 %.