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


Equity Investments in Funds - Look-through Approach The LTA requires a bank to risk weight the underlying exposures of a fund as if the exposures were held directly by the bank. This is the most granular and risk-sensitive approach. It must be used when: (1) there is sufficient and frequent information provided to the bank regarding the underlying exposures of the fund; and (2) such information is verified by an independent third party. See Basel CRE60 Equity Investments in Funds, CRE 60.2


Equity Investments in Funds - Mandate-based Approach The second approach, the MBA, provides a method for calculating regulatory capital that can be used when the conditions for applying the LTA are not met. Under the MBA banks may use the information contained in a fund’s mandate or in the national regulations governing such investment funds. See Basel CRE60 Equity Investments in Funds, CRE 60.6


Equity Investmnets in Funds - Fall-back Approach Where neither the LTA nor the MBA is feasible, banks are required to apply the FBA. The FBA applies a 1250% risk weight to the bank’s equity investment in the fund. See Basel CRE60 Equity investments in funds, CRE 60.8


Securitisation External-Ratings-Based Approach See Basel CRE42 Securitisation: External-Ratings-Based Approach (SEC_ERBA)