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 (12) Credit risk mitigation: foundation IRB approach

Subregulation (12)(f) Maturity mismatches
Purchase cart Previous page Return to chapter overview Next page

 

(f)        Maturity mismatches

 

A bank that adopted the foundation IRB approach for the recognition of risk mitigation shall comply with the relevant requirements specified in subregulation (9)(e) in respect of any maturity mismatches between the bank's exposure to credit risk and the risk mitigation obtained in respect of the said credit exposure.