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 (11) Method 1 : Calculation of credit risk exposure in terms of the foundation IRB approach

Subregulation (11)(m) Securitisation exposure: Formulation of supervisory parameter (p)
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[Regulation 23 (11)(m) heading substituted by section 2(ii) of Notice No. 2561, GG46996, dated 30 September 2022]

 

(m)Securitisation exposure: Formulation of supervisory parameter (p)

 

(i)        The supervisory parameter p in the context of the SEC-IRBA is as follows:

 

p=max[0.3; (A + B*(1/N) + C*KIRB + D*LGD + E*MT)],

 

where:

 

0.3 denotes the p-parameter floor;

 

N is the effective number of loans in the underlying pool, calculated as described in subregulation (n) below;

 

KIRB is the capital charge of the underlying pool (as defined in subregulation 11(k)(i) above)

 

LGD is the exposure-weighted average loss-given-default of the underlying pool, calculated as described in subregulation (o) below;

 

MT is the maturity of the tranche calculated according to subregulation (6)(h)(xviii);

 

and the parameters A, B, C, D, and E are determined according to the following look-up table:

 

 

N2561 Reg 23(6) Amend 8

 

(ii) If the underlying IRB pool consists of both retail and wholesale exposures, the pool should be divided into one retail and one wholesale subpool and, for each subpool, a separate p-parameter (and the corresponding input parameters N, KIRB and LGD) should be estimated. A weighted average parameter for the transaction should be calculated on the basis of the parameters of each subpool and the nominal size of the exposures in each subpool.

 

(iii)If a bank applies the SEC-IRBA to a mixed pool as described in subregulation (6)(h)(i), the calculation of the p-parameter should be based on the IRB underlying assets only and the SA underlying assets should not be considered for this purpose.

 

[Regulation 23 (11)(m) substituted by section 2(ii) of Notice No. 2561, GG46996, dated 30 September 2022 - effective 1 October 2022]