Stress Test Data Framework Dictionary 2021: Version 02

CapitalRequirementCalculationApproachSecuritisationPositions

Enumeration Definition
1250% Risk-weight assigned if unable to use any of the CRR methods to calculate risk-weights.
SEC ERBA Securitisation-External Ratings Based Approach (SEC-ERBA).
SEC IRBA Securitisation-Internal Ratings Based Approach (SEC-IRBA).
SEC SA Securitisation-Standardised Approach (SEC-SA).