A bank that adopted the IRB approach for the measurement of the bank's exposure to credit risk shall categorise its banking book exposures into one and apply the IRB approach in respect of all material asset categories specified below:

When a bank is engaged in specialised lending activities the bank shall subdivide any corporate exposure resulting from such specialised lending activities into one of the categories specified below:

Normally project finance relates to the provision of funds to a special-purpose institution for the acquisition or construction of large and complex installations such as power plants, mines or chemical processing plants, the repayment of which funds is based solely or almost exclusively on the funds generated by the relevant project and the collateral value of the project's assets, that is, the borrower of the funds has no or little independent capacity to repay the obligations arising from the borrowed funds, and in respect of which specialised lending agreement the reporting bank has a substantial degree of control over the said asset and the income produced by that asset.

Normally object finance relates to the provision of funds to a special–purpose institution for the acquisition of physical assets such as ships or aircrafts, the repayment of which funds is based solely or almost exclusively on the cash flows generated by the relevant asset and which assets are usually pledged as security to the lending bank, that is, the borrower of the funds has no or little independent capacity to repay the obligations arising from the borrowed funds, and in respect of which specialised lending agreement the reporting bank has a substantial degree of control over the said asset and the income produced by that asset.

Normally commodity finance relates to the provision of funds in respect of structured short-term lending in order to finance, for example, inventories or receivables from exchange-traded commodities such as crude oil, metals or crops, the repayment of which funds is based solely or almost exclusively on the proceeds derived from the sale of the commodity, that is, the borrower of the funds has no or little independent capacity to repay the obligations arising from the borrowed funds and the exposure's rating reflects its self-liquidating nature.

Normally income-producing real estate relates to the provision of funds for real estate such as office buildings to let, multifamily residential buildings, industrial or warehouse space and hotels, the repayment of which funds is based solely or almost exclusively on the cash flows generated by the asset, such as lease or rental payments, or the sale of the asset, that is, there is a strong positive correlation between the prospects for the repayment of the exposure and the prospects for the recovery in the event of default, with both events being materially dependent upon the cash flows generated by the relevant property.

For the purposes of these Regulations, a bank shall classify any funding provided in respect of commercial real estate that exhibits higher loss rate volatility, that is, higher asset correlation, than other types of specialised lending as a high-volatility commercial real estate exposure, including—

When the repayment of a debt obligation of a corporation, partnership or proprietorship is not solely or almost exclusively based on the cash flows envisaged in items (A) to (E) above and the bank is able to rate the credit quality of the obligor based on the obligor's broader ongoing operations and independent capacity to repay its debt obligations, the bank shall classify the said exposure as a corporate exposure instead of one of the subcategories envisaged in items (A) to (E) above.

A bank shall include in the category of sovereign exposure all exposures that qualify as sovereign exposure in terms of the provisions of the standardised approach envisaged in subregulation (5) read with subregulations (6) and (8), including—

A bank shall include in this category all relevant exposures to banks, including—

A bank—

The exposure shall be to an individual and shall relate to revolving credit or a line of credit such as a credit card receivable, an overdraft facility, a personal term loan or lease, instalment finance, a loan or lease in respect of a vehicle, a student or educational loan, personal finance, or other exposures with similar characteristics, regardless of the extent of the exposure provided that the Registrar may specify specific thresholds in order to distinguish between retail and corporate exposures.

The exposure shall be secured by mortgage in respect of residential property as envisaged in subregulation (6)(c) above, including first and subsequent liens, term loans and revolving home equity lines of credit, regardless of the extent of the exposure, provided that the Registrar may specify limits in respect of the maximum number of housing units per exposure or persons other than individuals to which the exposure relates.

The exposure—

provided that—

[Proviso of regulation 23(11)(c)(iii)(A) substituted by regulation 6(p) of Notice No. R. 297, GG 40002, dated 20 May 2016]

The exposure shall be one of a large pool of exposures, which exposures shall be managed by the bank on a pooled basis, that is, exposures shall be managed as part of a portfolio segment or pool of exposures with similar risk characteristics.

[Regulation 23(11)(c)(iv)(A)(iv) substituted by regulation 6(q) of Notice No. R. 297, GG 40002, dated 20 May 2016]

A bank shall include in this pool of exposures only those exposures that comply with the requirements specified in item (A)(ii) above.

In order for a portfolio of exposures to be classified as qualifying revolving retail exposures, the exposures—

[Regulation 23(11)(c)(iv)(B)(ii)(dd) substituted by regulation 6(r) of Notice No. R. 297, GG 40002, dated 20 May 2016]

[Regulation 23(11)(c)(iv)(B)(ii) substituted by regulation 2(s) of Notice No. R. 261, GG 38616, dated 27 March 2015]

A bank shall classify all exposures that qualify as retail exposures, other than exposures secured by residential property or qualifying revolving retail exposures, as other retail exposures.

Based on—

a bank shall categorise its equity exposures or instruments held in the bank's banking book.

Based on the relevant criteria specified in this paragraph (c), a bank shall subdivide its purchased receivables between retail receivables and corporate receivables.

This category of exposure shall include all cash and cash equivalent amounts.

For the purposes of this subregulation (11)(c), cash equivalent amounts shall include any amount relating to gold bullion.

This category of exposure shall include any exposure relating to a securitisation scheme or resecuritisation exposure, including asset-backed securities, mortgage-backed securities, credit enhancement, liquidity facilities and relevant interest-rate swaps or currency swaps.

A bank shall classify all exposures other than the exposures envisaged in subparagraphs (i) to (viii) above as other exposures.