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Article number: 178
Spread risk on securitisation positions: calculation of the capital requirement
1.The capital requirement SCRsecuritisation 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 stressi in the value of each securitisation position i.
2.The risk factor stressi shall depend on the modified duration denominated in years (duri ). duri 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 stressi 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 stressi 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 stressi 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 stressi 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 stressi equal to the following formula:
stressi = min(bi · duri ;1)
where bi shall be assigned depending on the credit quality step of re-securitisation position i, as set out in the following table:
|
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 stressi equal to the following formula:
stressi=min(bi · duri ;1)
where bi shall be assigned depending on the credit quality step of securitisation position i, 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 stressi of 100 %
Metadata
RULEBOOK TOPIC: SUBSECTION 5 - Spread risk sub-module
RULEBOOK CATEGORY: DELEGATED REGULATION (EU) 2015/35
Last update on: 11 Jul 2024