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:
\mathrm{stress}_{i} = \min (b_{i} \cdot \mathrm{dur}_{i} ; 1)
where:
dur i denotes the modified duration of securitisation position i denominated in years;
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 |
bi | 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
\mathrm{stress}_{i} = \min (b_{i} \cdot \mathrm{dur}_{i} ; 1)
where:
dur i denotes the modified duration of securitisation position i denominated in years;
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 |
bi | 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
\mathrm{stress}_{i} = \min (b_{i} \cdot \mathrm{dur}_{i} ; 1)
where:
dur i denotes the modified duration of resecuritisation position i denominated in years;
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 |
bi | 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 %.