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 (19) Calculation of counterparty credit exposure in terms of the internal model method

Subregulation (19)(g) Matters related to minimum required capital and reserve funds for default risk

Purchase

(g)	Matters related to minimum required capital and reserve funds for default risk

In order to determine the minimum required amount of capital and reserve funds for default risk in respect of a bank's exposure to counterparty credit risk, a bank that obtained the approval of the Registrar to adopt the internal model method shall use the greater of—

(i)	the portfolio-level capital requirement, excluding the requirement related to credit valuation adjustments (CVA) envisaged in paragraph (h) below, based on Effective EPE using current market data; and

(ii)	the portfolio-level capital requirement based on Effective EPE using a stress calibration, provided that the stress calibration shall be a single consistent stress calibration for the whole portfolio of relevant counterparties,

Provided that the greater of Effective EPE using current market data and the stress calibration shall be applied on a total portfolio level and not on a counterparty by counterparty basis.