Specifies the approved rwa calculation approach that is applied to the exposure for rwa calculations. Specified for firms that are approved to have mixed calculation approaches by the regulator.
Standardized Approach See Basel CRE20-22
Foundation Internal Model Approach See Basel CRE31 Foundation and advanced approaches
Advanced Internal Model Approach See Basel CRE31 Foundation and advanced approaches
Securitisation Standardised Approach See Basel CRE41 Securitisation: Standardised Approach (SEC_SA)
Securitisation Standardised Approach - Look-through Approach
For securitisation calculations, when the financial institution has full knowledge of the composition of the underlying exposures of pool at all time, the institution can apply the “look-through” approach to senior securitization exposures.
See OSFI Chapter 7, P134 or Basel Framework, CRE 40.50
Securitisation External-Ratings-Based Approach See Basel CRE42 Securitisation: External-Ratings-Based Approach (SEC_ERBA)