Regulatory Alerts2020-12-07
C5-2020: Application of Requirements Relating to the Granularity Criteria
The Prudential Authority issued Circular 5/2020 to standardize the interpretation and application of granularity criteria for retail exposures under the Standardised Approach for credit risk. The circular mandates that exposures exceeding R12.5 million or 0.2% of a bank’s retail portfolio, calculated after credit conversion factors and excluding residential mortgages, must be risk-weighted at 100% rather than the preferential 75%. Banks are required to apply these thresholds at each reporting date and submit a signed acknowledgement of receipt to the Authority along with their independent auditors.
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