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  1. Regulation 2015/35/EU - Solvency II Delegated Regulation
  2. Title I Valuation and risk-based capital requirements (pillar I), enhanced governance (pillar II) and increased transparency (pillar III) (arts. 1-327)
  3. Chapter V Solvency Capital Requirement Standard Formula (arts. 83-221)
  4. Section 5 Market risk module (arts. 164-188)
  5. Subsection 5 Spread risk sub-module (arts. 175-181)
  6. Article 178 Spread risk on securitisation positions: calculation of the capital requirement
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Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2019 - onwards
  Version 3 of 3    

Article 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:

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 th

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