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)(q) Risk weighted exposure equivalent to a deduction against capital and reserve funds
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(q)Other specified risk weighted exposure

 

A bank that adopted the foundation IRB approach for the measurement of the bank’s exposure to credit risk shall in addition to any relevant exposure and/or amount specified in subregulation (6)(j) to be risk weighted at 1250 per cent, risk weight such exposures as may be specified in table 14 below at a risk weighting of 1250 per cent:

 

Table 14

Risk weight of 1250 per cent

Any amount relating to expected loss in respect of equity exposures subject to the PD/LGD approach specified in regulation 31

 

[Regulation 23(11)(q) substituted by regulation 6(u) of Notice No. R. 297, GG 40002, dated 20 May 2016]