Regulatory Alerts2014-02-13
Interpretation and Application of Granularity Criteria for Retail Exposures
The South African Reserve Bank clarifies the interpretation and application of granularity criteria for retail exposures under the Standardised Approach to resolve inconsistencies in capital calculations and regulatory reporting. Banks must calculate aggregate exposure after applying credit conversion factors, exclude residential mortgages, and apply a R7.5 million threshold to determine portfolio inclusion. Exposures meeting other retail requirements and staying within the 0.2 per cent threshold retain a preferential 75 per cent risk weight, while those exceeding the threshold are assigned a 100 per cent risk weight but remain classified within the retail portfolio for reporting purposes.
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