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RWA for Credit Risk

Effective from Dec 28 2022 - Dec 31 2022
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5.4RWA for credit risk and counterparty credit risk is calculated as the sum of the following:
 		 
 (1)Credit RWA for banking book exposures, except the RWA listed in (2) to (6) below, calculated using:
 
  (a)The standardized approach, set out in SAMA Minimum Capital Requirements for Credit Risk chapters 7 to 9; or
 		 
  (b)The internal ratings-based (IRB) approach, set out in SAMA Minimum Capital Requirements for Credit Risk chapters 10 to 16.
 		 
 (2)RWA for counterparty credit risk arising from banking book exposures and from trading book instruments (as specified in SAMA Minimum Capital Requirements for Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA)), except the exposures listed in (3) to (6) below.
 
 (3)Credit RWA for equity investments in funds that are held in the banking book calculated using one or more of the approaches set out in chapter 24 of SAMA Minimum Capital Requirements for Credit Risk:
 
  (a)The look-through approach.
 		 
  (b)The mandate-based approach.
 		 
  (c)The fall-back approach.
 		 
 (4)RWA for securitization exposures held in the banking book, calculated using one or more of the approaches set out in chapters 18 to 23 of SAMA Minimum Capital Requirements for Credit Risk:
 
  (a)Securitization Standardized Approach (SEC-SA).
 		 
  (b)Securitization External Ratings-Based Approach (SEC-ERBA).
 		 
  (c)Internal Assessment Approach (IAA).
 		 
  (d)Securitization Internal Ratings-Based Approach (SEC-IRBA).
 		 
  (e)A risk weight of 1250% in cases where the bank cannot use (a) to (d) above.
 		 
 (5)RWA for exposures to central counterparties in the banking book and trading book, calculated using the approach set out in chapter 8 of SAMA Minimum Capital Requirements for CCR and CVA.
 
 (6)RWA for the risk posed by unsettled transactions and failed trades, where these transactions are in the banking book or trading book and are within scope of the rules set out in chapter 25 of SAMA Minimum Capital Requirements for Credit Risk.