1. 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 istress_{i} in the value of each type 1 securitisation position i .i. The risk factor stress istress_{i} shall be equal to the following:
$$\mathrm{stress}_{i}$$\mathrm{stress}_i = \min (b_{i}\min(b_i \cdot \mathrm{dur}_{i} ;\mathrm{dur}_i, 1)$$
where:
((a))(a) dur _{i} denotesduridenotes the modified duration of securitisation position i denominatedpositionidenominated in years;
((b))(b) b _{i} shallbishall be assigned depending on the credit quality step of securitisation position i accordingpositioniaccording to the following table:table:Credit quality step0123bi2,1 %3 %3 %3 %
Credit quality step | 0 | 1 | 2 | 3
bi | 2,1 % | 3 % | 3 % | 3 %
2. 2. The capital requirement for spread risk on type 2 securitisation position shall be equal to the loss in the basic own funds that would result from an instantaneous relative decrease of stress istress_{i} in the value of each type 2 securitisation position i .i. The risk factor stress istress_{i} shall be equal to the following
$$\mathrm{stress}_{i}$$\mathrm{stress}_i = \min (b_{i}\min(b_i \cdot \mathrm{dur}_{i} ;\mathrm{dur}_i, 1)$$
where:
((a))(a) dur _{i} denotesduridenotes the modified duration of securitisation position i denominatedpositionidenominated in years;
((b))(b) b _{i} shallbishall be assigned depending on the credit quality step of securitisation position i accordingpositioniaccording to the following table:table:Credit quality step0123456bi12,5 %13,4 %16,6 %19,7 %82 %100 %100 %
Credit quality step | 0 | 1 | 2 | 3 | 4 | 5 | 6
bi | 12,5 % | 13,4 % | 16,6 % | 19,7 % | 82 % | 100 % | 100 %
3. 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 istress_{i} in the value of each resecuritisation position i .i. The risk factor stress istress_{i} shall be equal to the following
$$\mathrm{stress}_{i}$$\mathrm{stress}_i = \min (b_{i}\min(b_i \cdot \mathrm{dur}_{i} ;\mathrm{dur}_i, 1)$$
where:
((a))(a) dur _{i} denotesduridenotes the modified duration of resecuritisation position i denominatedpositionidenominated in years;
((b))(b) b _{i} shallbishall be assigned depending on the credit quality step of resecuritisation position i accordingpositioniaccording to the following table:table:Credit quality step0123456bi33 %40 %51 %91 %100 %100 %100 %
Credit quality step | 0 | 1 | 2 | 3 | 4 | 5 | 6
bi | 33 % | 40 % | 51 % | 91 % | 100 % | 100 % | 100 %
4. 4. The modified duration dur idur_{i} referred to in paragraphs 1 and 2 shall not be lower than 1 year.
5. 5. Securitisation positions for which a credit assessment from a nominated ECAI is not available shall be assigned a risk factor stress istress_{i} of 100 %.