Maintenance Act, 1998
R 385
Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to Banks' Financial Instrument TradingChapter 6 : Large Exposures23. Calculations |
| (1) | In instances where the sum of the exposures to a third party or a group of connected third parties exceeds 25 per cent of a bank's adjusted allocated capital, the bank shall calculate an LER for each such exposure as follows: |
| (a) | Calculate the excess of the exposures over 25 per cent of adjusted allocated capital; |
| (b) | rank the exposures on the basis of specific risk requirement in the case of position risk and the requirement in the case of counterparty exposures, in descending order; |
| (c) | aggregate the constituent exposures, starting with the exposure attracting the highest risk requirement, until the aggregation equals the excess referred to in (a) above; |
| (d) | the LER aggregate shall be 200 per cent of the specific risk requirements and CRRs applicable to those exposures forming the excess. The LER shall, however, be limited to such amount as, together with the PRRs or CRRs on the exposures constituting such excess, equals 100 per cent of any exposure included in the excess. |
| (2) | A bank that determines its PRIR according to the simplified method shall treat the consolidated PRR commensurate with that method as the specific risk requirement for purposes of calculating its LER in terms of subregulation (1). |
