Banks Act, 1990 (Act No. 94 of 1990)

Regulations

Regulations relating to Banks

Chapter II : Financial, Risk-based and other related Returns and Instructions, Directives and Interpretations relating to the completion thereof

23. Credit risk: monthly return

Directives and interpretations for completion of monthly return concerning credit risk (Form BA 200)

Subregulation (13) Method 2: Calculation of credit risk exposure in terms of the advanced IRB approach

Subregulation (13)(a)
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(a)Unless specifically otherwise provided in this subregulation (13), a bank that obtained the prior written approval of the Registrar to adopt the advanced IRB approach for the measurement of the bank's credit risk exposure in respect of positions held in the bank's banking book—

 

(i)shall continuously comply with the relevant minimum requirements specified in subregulation (11)(b) above and paragraph (b) below, and such further conditions as may be specified in writing by the Registrar;

 

(ii)shall comply with the relevant disclosure requirements specified in regulation 43(2);

 

(iii)shall categorise its exposures in accordance with the relevant requirements specified in subregulation (11)(c);

 

(iv)shall, subject to the provisions of paragraphs (b)(v) and (d) below, calculate its risk-weighted exposures in accordance with the relevant requirements, formulae and risk components specified in subregulations (11)(d) to (11)(p) above;

 

(v)shall apply the IRB approach for the measurement of the bank's exposure relating to a securitisation scheme, that is, a bank shall not use the IRB approach for the measurement of the bank's exposure in respect of a securitisation scheme unless the bank obtained the prior written approval of the Registrar to apply the IRB approach for the measurement of the bank's exposure to underlying credit exposure, provided that the bank shall in respect of the said securitisation exposures comply with the relevant requirements specified in subregulation (11)(b)(xii);

 

(vi)shall risk weight the relevant amounts or exposures specified in subregulations (6)(j) and (11)(q), to be risk-weighted at 1250 per cent, commensurately, that is, at a risk weight of 1250 per cent.

[Regulation 23(13)(a)(vi) substituted by section 2(jjjjjj) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]