This regulatory framework mandates institutions to apply specific credit spread risk factors to securitisation positions, differentiating between those included and not included in the Advanced Credit Risk Framework (ACTP). For positions within the ACTP, standard buckets for credit spread risk apply, while non-ACTP positions will utilise tailored buckets pertinent to their risk-class categories.

Institutions are required to compute delta, vega, and curvature risk factors for both categories. For ACTP positions, these are based on the credit spread rates and implied volatilities of underlying exposures. Conversely, for non-ACTP positions, the focus shifts to the tranche credit spreads. A common risk weight is uniformly applied to curvature risk factors across the board, ensuring consistency in risk management practices.