3D21 Spread Risk On Securitisation Positions: Calculation Of The Capital Requirement

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Solvency Capital Requirement - Standard Formula

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3D21 Spread Risk On Securitisation Positions: Calculation Of The Capital Requirement

Printed on: 11/06/2025

Rulebook at: 26/03/2025

3D21 Spread Risk On Securitisation Positions: Calculation Of The Capital Requirement

A firm must calculate the capital requirement SCR_{securitisation} for spread risk on securitisation positions as equal to the loss in its basic own funds that would result from an instantaneous relative decrease of stress_I in the value of each securitisation position i.

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The risk factor stress_I must be calculated by reference to the modified duration denominated in years (dur_I), and dur_I must not be lower than 1 year.

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In respect of senior securitisation positions in STS securitisations which fulfil the requirements set out in Article 243 of the CRR and for which a credit assessment by a nominated external credit assessment institution is available, a firm must assign 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 (dur_i)	stress_i	a_i	b_i	a_i	b_i	a_i	b_i	a_i	b_i	a_i	b_i	a_i	b_i
up to 5	$b_{i} \cdot {d u r}_{i}$	—	1.0%	—	1.2%	—	1.6%	—	2.8%	—	5.6%	—	9.4%
More than 5 and up to 10	$a_{i} + b_{i} \cdot ({d u r}_{i} - 5)$	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	$a_{i} + b_{i} \cdot ({d u r}_{i} - 10)$	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	$a_{i} + b_{i} \cdot ({d u r}_{i} - 15)$	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	$m i n [a_{i} + b_{i} \cdot ({d u r}_{i} - 20); 1]$	14.0%	0.6%	14.5%	0.5%	18.0%	0.6%	33.5%	0.6%	57.5%	0.6%	79.5%	0.6%

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In respect of securitisation positions in STS securitisations that are not senior securitisation positions, which fulfil the requirements set out in Article 243 of the CRR and for which a credit assessment by a nominated external credit assessment institution is available, a firm must assign 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 (dur_i)	stress_i	a_i	b_i	a_i	b_i	a_i	b_i	a_i	b_i	a_i	b_i	a_i	b_i
up to 5	$min [b_{i} \cdot {d u r}_{i}; 1]$	—	2.8%	—	3.4%	—	4.6%	—	7.9%	—	15.8%	—	26.7%
More than 5 and up to 10	$min [a_{i} + b_{i} \cdot ({d u r}_{i} - 5); 1]$	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	$a_{i} + b_{i} \cdot ({d u r}_{i} - 10)$	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	$a_{i} + b_{i} \cdot ({d u r}_{i} - 15)$	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	$m i n [a_{i} + b_{i} \cdot ({d u r}_{i} - 20); 1]$	38.0%	1.6%	41.5%	1.5%	50.5%	1.6%	95.0%	1.6%	100.0%	0.0%	100.0%	0.0%

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In respect of senior securitisation positions in STS securitisations which fulfil the criteria set out in Article 243 of the CRR and for which no credit assessment by a nominated external credit assessment institution is available, a firm must assign a risk factor stress_i depending on the modified duration of the securitisation position i, as set out in the following table:

Duration (dur_i)	stress_i	a_i	b_i
up to 5	$b_{i} \cdot {d u r}_{i}$	—	4.6%
More than 5 and up to 10	$a_{i} + b_{i} \cdot ({d u r}_{i} - 5)$	23%	2.5%
More than 10 and up to 15	$a_{i} + b_{i} \cdot ({d u r}_{i} - 10)$	35.5%	1.8%
More than 15 and up to 20	$a_{i} + b_{i} \cdot ({d u r}_{i} - 15)$	44.5%	0.5%
More than 20	$m i n [a_{i} + b_{i} \cdot ({d u r}_{i} - 20); 1]$	47.0%	0.5%

31/12/2024

In respect of securitisation positions in STS securitisations that are not senior securitisation positions, which fulfil the criteria set out in Article 243 of the CRR and for which no credit assessment by a nominated external credit assessment institution is available, a firm must assign 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 3D21.3.

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In respect of resecuritisation positions for which a credit assessment by a nominated external credit assessment institution is available, a firm must assign a risk factor stress_I in accordance with the following formula:

stress_i = min (b_i · dur_i ;1)

where the value of b_I depends on the credit quality step of resecuritisation position i, as set out in the following table:

Credit quality step	0	1	2	3	4	5	6
$b_{i}$	33%	40%	51%	91%	100%	100%	100%

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In respect of securitisation positions not covered by 3D21.3 to 3D21.7, for which a credit assessment by a nominated external credit assessment institution is available, a firm must assign a risk factor stress_i in accordance with the following formula:

stress_i = min (b_i · dur_i ;1)

where the value of b_i depends 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
$b_{i}$	12.5 %	13.4 %	16.6 %	19.7 %	82%	100%	100%

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In respect of securitisation positions not covered by 3D21.3 to 3D21.8, a firm must assign a risk factor stress_i of 100%.

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