Statistics Act, 1999
R 385
Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to BanksChapter II : Financial, Risk-based and other related Returns and Instructions, Directives and Interpretations relating to the completion thereof23. Credit risk: monthly returnDirectives and interpretations for completion of monthly return concerning credit risk (Form BA 200)Subregulation (11) Method 1 : Calculation of credit risk exposure in terms of the foundation IRB approachSubregulation (11)(p) Securitisation exposures subject to an early amortisation mechanism |
| (p) | Securitisation exposures subject to an early amortisation mechanism |
A bank that acts as an originator shall comply with the relevant requirements specified in subregulation (6)(h)(xi) above relating to the investors' interest, provided that the bank's capital requirement relating to the investors' interest shall be equal to—
| (i) | the investors' interest, multiplied by |
| (ii) | the appropriate credit-conversion factor, multiplied by |
| (iii) | KIRB. |
