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 (14) Credit-risk mitigation: advanced IRB approach

Subregulation (14)(a) On-balance-sheet netting
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(a)On-balance-sheet netting

 

When a bank that adopted the advanced IRB approach for the measurement of the bank's exposure to credit risk in respect of positions held in the bank's banking book enters into a netting agreement in respect of loans and deposits, the bank may recognise the effect of such a netting agreement when the bank calculates the EAD amount of the relevant exposure, provided that the bank—

(i)shall at all times comply with the relevant conditions specified in subregulation (7)(a) above;
(ii)shall recognise the effect of any currency mismatch in accordance with the relevant requirements specified in subregulation (9)(b) above;
(iii)shall recognise the effect of maturity mismatch in accordance with the relevant requirements specified in subregulation (9)(e) above.