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Risk-Weighted Assets and Output Floor Requirements
No: 44047144
Date(g): 27/12/2022 | Date(h): 4/6/1444
Status: In-Force
5.2
There are different approaches to calculate RWA for market risk, credit risk including counterparty credit risk; some of these approaches require SAMA's prior approval. The nominated approaches of a bank refer to all the approaches that the bank is using or may use with SAMA's approval, to calculate regulatory capital requirements, other than those approaches used solely for the purpose of the output floor calculation outlined below.
RWA for market risk (as calculated in paragraph 5.5);
(c)
RWA for operational risk (as calculated in paragraph 5.6);
(2)
72.5% of the sum of the elements listed in point (1) above, calculated using only the standardized approaches listed in paragraph 5.7. This requirement is referred to as the output floor, and the RWA amount that is multiplied by 72.5% is referred to as the base of the output floor. This requirement is subject to transitional set out in5.10.
