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.
5.3	The RWA that banks must use to determine compliance with the requirements referred in paragraph 5.2 above and capital buffers requirements in accordance with SAMA Circular No. 351000123076, dated 21 July 2014, entitled “Enhanced Finalized Guidance Document Concerning the Implementation of Basel III, Section A”, SAMA Circular No. 371000034973, dated 4 January 2016, entitled “Applicability of Countercyclical Capital Buffer (CCyB) in Saudi Arabia”, and SAMA Circular No. 351000138356, dated 7 September 2014, entitled “Domestic Systemically Important Banks (D-SIBs) Framework”, is the higher of:
	(1)	The sum of the following three elements, calculated using the bank's nominated approaches:
		(a)	RWA for credit risk (as calculated in paragraphs 5.4);
		(b)	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.