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)(p) Securitisation exposures subject to an early amortisation mechanism
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(p)Securitisation exposures subject to an early amortisation mechanism

 

A bank that acts as an originator shall comply with the relevant requirements specified in subregulation (6)(h)(xi) above relating to the investors' interest, provided that the bank's capital requirement relating to the investors' interest shall be equal to—

(i)the investors' interest, multiplied by
(ii)the appropriate credit-conversion factor, multiplied by
(iii)KIRB.