Stress Test Data Framework Dictionary 2017: Version 02

IRBRWACategory

Enumeration Definition
A A is applied to the most senior tranche of a securitisation.
B B is applied where the effective number of exposures securitised is greater than six.
C C is applied where the effective number of exposures securitised is less than six.
D D is applied for re-securitisation positions in the most senior tranche of the resecuritisation and none of the underlying exposures were themselves resecuritisation exposures.
E E is applied for all other resecuritisation positions.