Regulatory Alerts2011-10-19
Directive on the Calculation of Capital Floors under the Banks Act 1990
The South African Reserve Bank issues this directive to establish the framework for calculating capital floors required under the transitional arrangements of Basel II. The document mandates banks to compute their risk-weighted assets by applying specific risk weights to on-balance sheet items, off-balance sheet exposures, and trading book requirements. It further requires comparing the resulting capital floor against previous regulatory capital standards to determine any additional capital requirements.
Annexure A
Directive in terms of Section 6(6) of the Banks Act 1990 – The application of capital floors
The calculation of capital floors
1. Purpose
The purpose of this directive is to provide a framework for the calculation of the capital floor introduced under the transitional arrangements as envisaged under the International Convergence of Capital Measurement and Capital Standards, A Revised Framework (Basel II) issued in June 2006.
Name of Bank:
Date:
| Amount R'000 | RWA % | RWA | Capital at 10% | Other notes |
|---|---|---|---|---|
| Total assets as per BA 100 | 1 | |||
| Adjustment: set-off | ||||
| Less: | ||||
| - balances to cash, SARB and govt bonds/sovereigns | 0% | 0 | ||
| - balances in respect of cash management schemes | 0% | 0 | ||
| - deferred tax not arising from assessed losses | 0% | 0 | ||
| - balances with cash pledges | 0% | 0 | ||
| - balances to group banks | 0% | 0 | ||
| - balances in relation to trading book (not risk weighted on DI100) | 0% | 0 | ||
| - balances to public institutions | 10% | 0 | ||
| - balances to banks | 20% | 0 | ||
| - balances in respect of residential mortgages (<80% LTV) | 50% | 0 | 2 | |
| - securitised assets | ||||
| - other classifications (including net reclassifications) | 0% | 0 | ||
| 10% | 0 | |||
| 20% | 0 | |||
| 50% | 0 | |||
| 150% | 0 | |||
| - balances remaining at 100% | 0 | 100% | 0 | |
| - large exposures (>25% of capital) | 100% | 0 | ||
| - counterparty risk banking book | 0 | |||
| Total on-balance sheet | 0 |
Plus: off-balance sheet
| - indemnities & guarantees | 10% | 0 | ||
| - indemnities & guarantees | 20% | 0 | ||
| - indemnities & guarantees | 50% | 0 | ||
| - indemnities & guarantees | 100% | 0 | ||
| - committed facilities | 5% | 0 | ||
| - committed facilities | 10% | 0 | ||
| - committed facilities | 20% | 0 | ||
| - committed facilities | 50% | 0 | ||
| - committed facilities | 100% | 0 | ||
| - letters of credit | 5% | 0 | ||
| - letters of credit | 10% | 0 | ||
| - letters of credit | 20% | 0 | ||
| - net open currency positions per (old) regulation 33(5) | 100% | 0 | ||
| - contracted capital expenditure | 20% | 0 | ||
| - underwriting exposures | 50% | 0 | ||
| - credit derivatives | 10% | 0 | ||
| - credit derivatives | 100% | 0 | ||
| - other contingent liabilities | 20% | 0 | ||
| - other contingent liabilities | 50% | 0 | ||
| - other contingent liabilities | 100% | 0 | ||
| Total off-balance sheet | 0 |
Total on-balance sheet plus off-balance sheet | | | 0 | 0 |
Plus: trading book capital requirements
| - base requirement | |||
| - counterparty risk | |||
| - position risk | |||
| - large exposure requirement |
Total capital requirement (@10%) based on the prescriptions of the Regulations relating to banks as published in the previous Regulations relating to banks | | | 0 | para 46 |
Plus
| - Impairments against primary and secondary capital in terms of previous Regulations relating to banks |
Less
| - General provisions qualifying as capital |
Calculated amount per para 46 | | | 0 | | Floor percentage | | | 95% | | Capital floor | | | 0 | |
Name of Bank:
Date:
| Amount R'000 | RWA % | RWA | Capital at 10% | Other notes |
|---|---|---|---|---|
| Compared to | ||||
| - Capital required per BA700 (line 11, column 6) | para 47 | |||
| Less | ||||
| - Difference between total provisions and EL recognised as capital per BA 700 (line 75, column 1) | 0 | para 47 | ||
| Plus | ||||
| - Deductions against primary and secondary capital per BA 700 (line 14, column 4) | para 47 | |||
| 0 | ||||
| Additional requirement due to capital floors | 0 |
General Notes
- Please refer to the conditions as per the directive
Additional Notes
- Instances where IFRS netting is different from regulation 13 (reg 12 in the previous Regulations) set-off.
- Covering instances where IFRS does not permit securitised assets to be derecognised even though in compliance with the exemption notice.