Commission Delegated Regulation (EU) 2018/1221 of 1 June 2018 amending Delegated Regulation (EU) 2015/35 as regards the calculation of regulatory capital requirements for securitisations and simple, transparent and standardised securitisations held by insurance and reinsurance undertakings (Text with EEA relevance.)

‘6 For the purposes of paragraph 5, the larger or more complex exposures of an undertaking shall include securitisation positions as referred to in Article 178(8) and (9) and re-securitisation positions.’;

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 step012345 and 6Durationstressiaibiaibiaibiaibiaibiaibi(duri)up to 5bi · duri—1,0 %—1,2 %—1,6 %—2,8 %—5,6 %—9,4 %More than 5 and up to 10ai + 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 15ai + 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 20ai + 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 20min[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 step012345 and 6Durationstressiaibiaibiaibiaibiaibiaibi(duri)up to 5min[bi · duri;1]—2,8 %—3,4 %—4,6 %—7,9 %—15,8 %—26,7 %More than 5 and up to 10min[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 15ai + 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 20ai + 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 20min[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: Durationstressiaibi(duri)up to 5bi · duri—4,6 %More than 5 and up to 10ai + bi · (duri – 5)23 %2,5 %More than 10 and up to 15ai + bi · (duri – 10)35,5 %1,8 %More than 15 and up to 20ai + bi · (duri – 15)44,5 %0,5 %More than 20min[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: Credit quality step0123456bi33 %40 %51 %91 %100 %100 %100 %

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 step0123456bi12,5 %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 %.’;

1 Notwithstanding Article 178(3), securitisations issued before 1 January 2019 that qualify as type 1 securitisations in accordance with Article 177(2) in the version in force on 31 December 2018 shall be assigned a risk factor stressi in accordance with Article 178(3) even where those securitisations are not STS securitisations which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013.

2 Paragraph 1 shall apply only in circumstances where no new underlying exposures were added or substituted after 31 December 2018.

3 Notwithstanding Article 178(3), securitisations issued before 18 January 2015 that qualify as type 1 securitisations in accordance with Article 177(4) in the version in force on 31 December 2018 shall be assigned a risk factor stressi in accordance with Articles 177 and 178 in the version in force on 31 December 2018.

4 Notwithstanding Article 178(3), securitisations issued before 1 January 2019 that qualify as type 1 securitisations in accordance with Article 177(5) in the version in force on 31 December 2018 shall, until 31 December 2025, be assigned a risk factor stressi in accordance with Articles 177 and 178 in the version in force on 31 December 2018.’;

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 1 January 2019.