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 (13) Method 2: Calculation of credit-risk exposure in terms of the advanced IRB approach

Subregulation (13)(e) Risk-weighted exposure equivalent to a deduction against capital and reserve funds
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(e)Risk weighted exposure equivalent to a deduction against capital and reserve funds

 

A bank that adopted the advanced IRB approach for the measurement of the bank's exposure to credit risk shall risk weight any exposure specified in subregulation (11)(q) in accordance with the relevant requirements specified in the said subregulation (11)(q).