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)

(21) EXPECTED LOSS

A bank that adopted the IRB approach for the measurement of the bank’s exposure to credit risk shall calculate an aggregate amount in respect of the bank’s expected losses, which aggregate expected loss amount—

(a)	shall exclude any expected losses in respect of—

(i)	credit exposures arising from a securitisation scheme;

(b)	shall be determined by multiplying the expected loss ratio relating to a particular credit exposure with the relevant EAD amount, that is, unless specifically otherwise provided:

Expected loss amount = PD * LGD * EAD

(c)	shall, based on the aforesaid, in the case of-

(i)	credit exposures not in default related to—

(A)	sovereigns, banks and corporate institutions, other than any exposure mapped into the standardised risk grades specified in subregulation (11)(d)(iii)(C); and

(B)	the bank’s retail portfolios, be calculated by multiplying the exposure’s relevant PD ratio with its LGD ratio;

(ii)	credit exposures in default related to corporate institutions, sovereigns, banks and the bank’s relevant retail portfolios, be calculated—

(A)	based upon the specified LGD ratios and relevant requirements specified in subregulation (11) in relation to exposures subject to the foundation IRB approach; and

(B)	by using the bank’s best estimate of expected loss in respect of exposures subject to the advanced IRB approach envisaged in subregulation (13);

(iii)

exposures relating to specialised lending mapped into the standardised risk grades specified in subregulation (11)(d)(iii)(C), excluding exposures relating to high-volatility commercial real estate, be calculated by multiplying the relevant EAD amount with the minimum required capital adequacy ratio specified in accordance with the relevant provisions of regulation 38(8)(b), and the risk weights specified in table 1 below:

Table 1
Rating grade
Strong	Good	Satisfactory	Weak	Default
5%	10%	35%	100%	625%

(iv)

exposures relating to high-volatility commercial real estate mapped into the standardised risk grades specified in subregulation (11)(d)(iii)(C), be calculated by multiplying the relevant EAD amount with the minimum required capital adequacy ratio specified in accordance with the relevant provisions of regulation 38(8)(b), and the risk weights specified in table 1 below:

Table 1
Rating grade
Strong	Good	Satisfactory	Weak	Default
5%	5%	35%	100%	625%

[Regulation 23(21) substituted by section 2(dddddddd) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]

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 (21) Expected loss