EBA欧洲银行-2016-EU-wide-stress-test-Securitisation-scenario_3页_519kb

2016 EU-wide Stress Test - Securitisation Scenarios Summary

Core Content Overview

The document outlines the stressed risk weights for securitisation and re-securitisation positions under the Standardised Approach (SA) and Internal Ratings-Based Approach (IRB) for the years 2016, 2017, and 2018, across Baseline and Adverse risk buckets. These risk weights are used to assess the potential impact of stress scenarios on the capital requirements of banks under the EU's stress testing framework.

Stressed Risk Weights for Standardised Approach

Baseline Risk Bucket 1

Adverse Risk Bucket 1

Baseline Risk Bucket 2

Adverse Risk Bucket 2

Baseline Risk Bucket 3

Adverse Risk Bucket 3

Stressed Risk Weights for IRB Approach

Baseline Scenario

Adverse Scenario for IRB Approach

Adverse Risk Bucket 1

Adverse Risk Bucket 2

Adverse Risk Bucket 3

Key Observations

• Risk weights generally increase over the years, reflecting a higher risk assessment in adverse scenarios.
• Re-securitisation positions typically have higher risk weights than securitisation positions, especially in adverse scenarios.
• Non-senior granular and non-granular securitisation positions carry higher risk compared to senior granular.
• The highest risk weights are consistently assigned to all other and unrated positions, with a fixed 1250% for both baseline and adverse scenarios.
• The IRB approach provides more granular risk weights based on credit assessments, with different risk levels for each risk bucket and subcategory.