| (1) | The content of the return is confidential and not available for inspection by the public. |
| (2) | The purpose of form BA 200, amongst other things— |
| (a) | is to provide an executive summary and overview of the reporting bank's exposure to and capital requirement in respect of credit risk; |
| (b) | is to provide a detailed analysis of the reporting bank's exposure to credit risk, including information in respect of key credit risk parameters, counterparty credit risk and credit impairments; |
| (c) | in the case of a bank that adopted the IRB approach for the measurement of its exposure to credit risk, is to provide an analysis in respect of expected loss and credit impairments, including information in respect of any related impact on qualifying capital and reserve funds; |
| (d) | is to provide an analysis of any relevant exposure in respect of specialised lending, which exposure is subject to specified risk weights and specified risk grades; |
| (e) | is to provide an analysis of any other assets and their relevant capital requirements. |
| (3) | For the measurement of a bank's exposure to credit risk the bank shall at the discretion of the bank use one of the alternative methodologies specified below: |
| (a) | The standardised approach, using one of the alternative frameworks prescribed in subregulation (5) read with the relevant provisions specified in subregulations (6) to (9); |
| (b) | Subject to the prior written approval of the Registrar and such conditions as may be specified in writing by the Registrar, the IRB approach, using one of the alternative frameworks prescribed in subregulation (10) read with the relevant provisions specified in subregulations (11) to (14); |
| (c) | Subject to the prior written approval of the Registrar and such conditions as may be specified in writing by the Registrar, a combination of the approaches envisaged in paragraphs (a) and (b) above; |
Provided that:
| (i) | when a bank is unable, unwilling or unprepared to comply with the relevant qualifying criteria specified in respect of the foundation or advanced IRB approach for the measurement of the bank's exposure to credit risk, the Registrar may in writing direct the bank to apply a specified method, subject to such conditions as may be specified in writing by the Registrar; |
| (ii) | unless specifically otherwise provided in these Regulations or specified in writing by the Registrar, a bank shall in all cases other than the items specified below complete the form BA 200 based on the outstanding amount at the end of the reporting month, provided that in respect of the items specified below and any related eligible credit risk mitigation in respect of that specified item, instead of the outstanding amount at the end of the reporting month, the bank shall report the average daily balance of the said specified item and the average daily balance related to any eligible credit risk mitigation in respect of that specified item in respect of the reporting month. |
| (A) | Any credit card or overdraft facility. |
| (B) | Any corporate exposure related to working capital or an overdraft facility. |
| (C) | Any SME working capital facility or overdraft. |
| (D) | Any money market exposure to a financial institution. |
| (E) | Any call or overnight loan. |
| (iii) | irrespective of whether the bank adopts the standardised approach or IRB approach for the measurement of the bank’s exposure to credit risk, the bank shall apply the relevant requirements specified in regulation 31 of these Regulations in respect of the bank’s equity investments in all types of funds that are held in the bank’s banking book, including any off-balance sheet exposure, such as unfunded commitments to subscribe to a fund’s future capital calls, provided that the said requirements specified in regulation 31 of these Regulations shall not apply to any exposure, including any underlying exposure held by a fund, that is required to be deducted from the bank’s capital and reserve funds in accordance with the relevant requirements specified in regulation 38(5) of these Regulations. |
[Proviso (iii) to regulation 23(3) inserted by section 3(a) of Notice No. 1427, GG44048, dated 31 December 2020 - effective 1 January 2021]
| (4) | In order to facilitate reporting on the form BA 200 and ongoing review by the Registrar of the reporting bank's exposure to credit risk, including any relevant peer group comparison, a bank that adopted the IRB approach for the measurement of the bank's exposure to credit risk— |
| (a) | shall in a mutually exclusive and jointly exhaustive manner map its internal master rating scale to the relevant rating scale and PD bands specified in the form BA 200; |
| (b) | shall duly document its mapping process, including any relevant definitions applied in its mapping process. |
