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)(e) Maturity mismatches
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(e)        Maturity mismatches

 

A bank that adopted the advanced I RB approach for the recognition of risk mitigation shall comply with the relevant requirements specified in subregulation (9)(e) above 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.