Regulatory Alerts2015-12-15
Revisions to the Standardised Approach for Credit Risk – Second Consultative Document
The Saudi Arabian Monetary Agency issued this second consultative document to implement revised capital framework proposals for credit risk across all domestic banks. The proposals reintroduce non-mechanistic external ratings, shift real estate loan risk weighting to the loan-to-value ratio, remove the debt service coverage ratio, and mandate borrower ability-to-pay assessments while categorizing real estate exposures under a single asset class. Banks must review the underlying Basel Committee document and submit their feedback to SAMA by 28 February 2016, with preliminary calibrations subject to a Quantitative Impact Study.
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