1.The capital requirement SCR securitisation for spread risk on 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 securitisation position i .
2.The risk factor stress i shall depend on the modified duration denominated in years ( dur i ). dur i shall not be lower than 1 year.
3.Senior STS securitisation positions which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013 and for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i depending on the credit quality step and the modified duration of the securitisation position i , as set out in the following table:
Credit quality step | 0 | 1 | 2 | 3 | 4 | 5 and 6 | |||||||
Duration | stress i | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi |
(duri) | |||||||||||||
up to 5 | bi · duri | — | 1,0 % | — | 1,2 % | — | 1,6 % | — | 2,8 % | — | 5,6 % | — | 9,4 % |
More than 5 and up to 10 | ai + bi · (duri – 5) | 5,0 % | 0,6 % | 6,0 % | 0,7 % | 8,0 % | 0,8 % | 14,0 % | 1,7 % | 28,0 % | 3,1 % | 47,0 % | 5,3 % |
More than 10 and up to 15 | ai + bi · (duri – 10) | 8,0 % | 0,6 % | 9,5 % | 0,5 % | 12,0 % | 0,6 % | 22,5 % | 1,1 % | 43,5 % | 2,2 % | 73,5 % | 0,6 % |
More than 15 and up to 20 | ai + bi · (duri – 15) | 11,0 % | 0,6 % | 12,0 % | 0,5 % | 15,0 % | 0,6 % | 28,0 % | 1,1 % | 54,5 % | 0,6 % | 76,5 % | 0,6 % |
More than 20 | min[ai + bi · (duri – 20);1] | 14,0 % | 0,6 % | 14,5 % | 0,5 % | 18,0 % | 0,6 % | 33,5 % | 0,6 % | 57,5 % | 0,6 % | 79,5 % | 0,6 % |
4.Non-senior STS securitisation positions which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013 and for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i depending on the credit quality step and the modified duration of the securitisation position i , as set out in the following table:
Credit quality step | 0 | 1 | 2 | 3 | 4 | 5 and 6 | |||||||
Duration | stress i | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi |
(duri) | |||||||||||||
up to 5 | min[bi · duri;1] | — | 2,8 % | — | 3,4 % | — | 4,6 % | — | 7,9 % | — | 15,8 % | — | 26,7 % |
More than 5 and up to 10 | min[ai + bi · (duri – 5);1] | 14,0 % | 1,6 % | 17,0 % | 1,9 % | 23,0 % | 2,3 % | 39,5 % | 4,7 % | 79,0 % | 8,8 % | 100,0 % | 0,0 % |
More than 10 and up to 15 | a i + bi · (duri – 10) | 22,0 % | 1,6 % | 26,5 % | 1,5 % | 34,5 % | 1,6 % | 63,0 % | 3,2 % | 100,0 % | 0,0 % | 100,0 % | 0,0 % |
More than 15 and up to 20 | ai + bi · (duri – 15) | 30,0 % | 1,6 % | 34,0 % | 1,5 % | 42,5 % | 1,6 % | 79,0 % | 3,2 % | 100,0 % | 0,0 % | 100,0 % | 0,0 % |
More than 20 | min[ai + bi · (duri – 20);1] | 38,0 % | 1,6 % | 41,5 % | 1,5 % | 50,5 % | 1,6 % | 95,0 % | 1,6 % | 100,0 % | 0,0 % | 100,0 % | 0,0 % |
5.Senior STS securitisation positions which fulfil the criteria set out in Article 243 of Regulation (EU) No 575/2013 and for which no credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i depending on the modified duration of the securitisation position i , as set out in the following table:
Duration | stress i | ai | bi |
(duri) | |||
up to 5 | bi · duri | — | 4,6 % |
More than 5 and up to 10 | ai + bi · (duri – 5) | 23 % | 2,5 % |
More than 10 and up to 15 | ai + bi · (duri – 10) | 35,5 % | 1,8 % |
More than 15 and up to 20 | ai + bi · (duri – 15) | 44,5 % | 0,5 % |
More than 20 | min[ai + bi · (duri – 20);1] | 47 % | 0,5 % |
6.Non-senior STS securitisation positions which fulfil the criteria set out in Article 243 of Regulation (EU) No 575/2013 and for which no credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i equivalent to credit quality step 5 and depending on the modified duration of the exposure, as set out in the table in paragraph 3.
7.Re-securitisation positions for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i equal to the following formula:
stressi= min(bi·duri;1)
wherebishall be assigned depending on the credit quality step of re-securitisation positioni, as set out in the following table:
Credit quality step | 0 | 1 | 2 | 3 | 4 | 5 | 6 |
bi | 33 % | 40 % | 51 % | 91 % | 100 % | 100 % | 100 % |
8.Securitisation positions not covered by paragraphs 3 to 7, for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i equal to the following formula:
stressi= min(bi·duri;1)
wherebishall be assigned depending on the credit quality step of securitisation positioni, as set out in 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 % |
9.Securitisation positions not covered by paragraphs 3 to 8, shall be assigned a risk factor stress i of 100 %.