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 (10) Calculation of credit risk exposure: IRB approach
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(10)Calculation of credit risk exposure: IRB approach

 

Subject to the relevant provisions of regulation 38(2) and subregulation (20), a bank that wishes to adopt the IRB approach for the measurement of the bank's exposure to credit risk—

 

(a)shall obtain the prior written approval of the Registar;

 

Should the Registrar grant his/her approval, the bank shall in addition to the minimum requirements relating to the IRB approach specified in subregulation (11)(b) below, continuously comply with such conditions as may be specified in writing by the Registrar;

 

(b)shall calculate its exposure to credit risk, at the discretion of the bank, either in accordance with the provisions of Method 1, as set out in subregulations (11) and (12) below, or Method 2, as set out in subregulations (13) and (14) below, or, subject to such conditions as may be specified in writing by the Registrar, a combination of the said methods.