1. The capital requirement for spread risk on bonds and loans SCRbonds 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 bond or loan i other than mortgage loans that meet the requirements in Article 191, including bank deposits other than cash at bank referred to in Article 189(2)(b).
2. The risk factor stressi shall depend on the modified duration of the bond or loan i denominated in years (duri). duri shall never be lower than 1. For variable interest rate bonds or loans, duri shall be equivalent to the modified duration of a fixed interest rate bond or loan of the same maturity and with coupon payments equal to the forward interest rate.
3. Bonds or loans 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 duri of the bond or loan i according to the following table.
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Credit qual |
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