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_{i}stress i in the value of each type 1 securitisation position i.i . The risk factor stress_{i}stress i shall be equal to the following:
\mathrm{stress}_i = \min(b_i \cdot \mathrm{dur}_i, 1)
where:
(a)((a)) duridenotesdur _{i} denotes the modified duration of securitisation positionidenominatedposition i denominated in years;
(b)((b)) bishallb _{i} shall be assigned depending on the credit quality step of securitisation positioniaccordingposition i according to the following table:Credit quality step0123bi2,1 %3 %3 %3 %table:
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_{i}stress i in the value of each type 2 securitisation position i.i . The risk factor stress_{i}stress i shall be equal to the following
\mathrm{stress}_i = \min(b_i \cdot \mathrm{dur}_i, 1)
where:
(a)((a)) duridenotesdur _{i} denotes the modified duration of securitisation positionidenominatedposition i denominated in years;
(b)((b)) bishallb _{i} shall be assigned depending on the credit quality step of securitisation positioniaccordingposition i according to the following table:Credit quality step0123456bi12,5 %13,4 %16,6 %19,7 %82 %100 %100 %table:
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_{i}stress i in the value of each resecuritisation position i.i . The risk factor stress_{i}stress i shall be equal to the following
\mathrm{stress}_i = \min(b_i \cdot \mathrm{dur}_i, 1)
where:
(a)((a)) duridenotesdur _{i} denotes the modified duration of resecuritisation positionidenominatedposition i denominated in years;
(b)((b)) bishallb _{i} shall be assigned depending on the credit quality step of resecuritisation positioniaccordingposition i according to the following table:Credit quality step0123456bi33 %40 %51 %91 %100 %100 %100 %table:
Credit quality step | 0 | 1 | 2 | 3 | 4 | 5 | 6
bi | 33 % | 40 % | 51 % | 91 % | 100 % | 100 % | 100 %
4. 4. The modified duration dur_{i}dur 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_{i}stress i of 100 %.