Regulatory Alerts2010-12-14
Interpretation and Application of Granularity Criteria for Retail Exposures
The South African Reserve Bank clarifies the regulatory interpretation and application of granularity criteria for retail exposures under the Standardised Approach to resolve inconsistencies in capital calculations and reporting. Banks must calculate aggregate exposures to individual persons after applying credit conversion factors, exclude residential mortgages, and ensure no single exposure exceeds R7.5 million to qualify for the preferential 75 per cent risk weight. Exposures surpassing the 0.2 per cent portfolio threshold will remain classified as retail for reporting purposes but must be assigned a 100 per cent risk weight to maintain portfolio diversification standards.
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