Commission Delegated Regulation (EU) 2015/35Show full title

Article 178 Spread risk on securitisation positions: calculation of the capital requirement

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
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

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
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

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
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 %.