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 (8) Method 2: Calculation of credit risk exposure in terms of the standardised approach
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(8)Method 2: Calculation of credit risk exposure in terms of the standardised approach

 

Unless specifically otherwise provided, a bank that adopted the standardised approach for the measurement of the bank's exposure to credit risk in respect of positions held in the bank's banking book shall risk weight its exposures, net of any relevant credit impairment, in accordance with the relevant requirements specified below:

 

(a)In the case of exposures to sovereigns, central banks, public-sector entities, banks, securities firms and corporate exposures, in accordance with the relevant provisions of table 1 read with the respective requirements specified in subparagraphs (i) to (iv) below:

Table 8

Claim in respect of—

Credit assessment issued by eligible institutions 1

AAA to

AA-

A+ to A-

BBB+

to BBB-

BB+ to B-

Below

B-

Unrated

Sovereigns (including the Central Bank of that particular country)

Export Credit Agencies: risk scores 1

0-1

2

3

4 to 6

7

0%

20%

50%

100%

150%

100%

Public-sector entities

20%

50%

50%

100%

150%

50%

Multilateral development banks 2; 3

20%

30%

50%

100%

150%

50% 4

ECRA banks 5; 6; 9

20%

30%

50%

100%

150%

See SCRA banks below

ECRA banks: short-term claims 5; 9; 10; 11

20%

20%

20%

50%

150%

See SCRA banks below

SCRA banks 7; 8; 9

Grade A

Grade B

Grade C

40%

75%

150%

SCRA banks: short-term claims 9; 10

Grade A

Grade B

Grade C

20%

50%

150%

ECRA securities firms 13

AAA TO

AA-

A+ to A-

BBB+

to BBB-

BB+

to B-

Below BB-

Unrated

20%

30%

50%

100%

150%

See ECRA banks

ECRA securities firms: short-term claims 13

20%

20%

20%

50%

150%

See ECRA banks

SCRA securities firms 13

Grade A

Grade B

Grade C

40%

75%

150%

SCRA securities firms: short-term claims 13

Grade A

Grade B

Grade C

20%

50%

150%

ECRA corporate

entities 14; 15; 17

AAA to AA-

A+ to A-

BBB+ to BBB-

BB+ to BB-

Below BB-

Unrated

20%

50%

75%

100%

150%

100%

SCRA corporate

entities 14; 16; 17

Investment grade

Corporate SMEs

Other

65%

85%

100%

Banks and corporate entities

Short-term credit assessment 1; 12; 18

A-1/P-1

A-2/P-2

A-3/P-3

Other

20%

50%

100%

150%
1. The notations used in this table relate to the ratings used by a particular credit assessment institution. The use of the rating scale of a particular credit assessment institution does not mean that any preference is given to a particular credit assessment institution. The assessments/ rating scales of other external credit assessment institutions or, in certain cases, Export Credit Agencies (“ECAs”), recognised as eligible institutions in South Africa, may have been used instead.
2. Means an institution created by a group of countries, and with memberships from several sovereign countries, that provides financing and professional advice for economic and social development projects.
3. Other than a multilateral development bank specified in subregulation (6)(j), risk weighted at zero per cent.
4. Including exposures of banks incorporated in jurisdictions that do not allow external ratings for regulatory purposes to multilateral development banks, that is, banks incorporated in jurisdictions that do not allow external ratings for regulatory purposes shall risk weight their exposures to multilateral development banks, other than multilateral development banks specified in subregulation (6)(j) to be risk weighted at zero per cent, at 50 per cent.
5. Include any claim on or exposure to any financial institution licensed to take deposits from the public and that is subject to prudential regulation and supervision similar to an institution registered in terms of the Banks Act, 1990 to conduct the business of a bank, including loans and senior debt instruments, but not any form of subordinated debt as envisaged in subregulation (6)(j), regulations 31 and 38, or otherwise included in the definition of Common Equity Tier 1 capital, Additional Tier 1 capital or Tier 2 capital.
6. In accordance with the respective requirements specified in this table 1 read with subparagraph (i) below.
7. In accordance with the respective requirements specified in this table 1 read with subparagraph (ii) below.
8. A SCRA bank shall classify all relevant bank exposures into one of the three specified risk-weight buckets, that is, Grade A, Grade B or Grade C, and assign to the relevant exposure the corresponding specified risk weight in accordance with the respective requirements specified in table 1 read with subparagraph (iii) below.
9. With the exception of short-term self-liquidating letters of credit, no claim on an unrated bank shall be assigned a risk weighting lower than the risk weighting assigned to a claim on the central government of the country in which the bank is incorporated, provided that for purposes of this subregulation (8)(a) short-term self-liquidating letters of credit mean self liquidating letters of credit with a maturity of less than one year.
10. Includes exposures to banks—
(a) with an original maturity of three months or less, excluding a claim which is renewed or rolled, resulting in an effective maturity of more than three months; or
(b) arising from the movement of goods across national borders with an original maturity of six months or less, including on-balance-sheet exposures such as loans and off-balance sheet exposures such as self-liquidating trade-related contingent items,
11. When a short-term rating or assessment has been issued in respect of that specific short-term exposure, and that rating maps into a risk weight—
(a) lower than or identical to the risk weight specified in this table 1 for general short-term exposures, that short-term rating shall be used for the risk weighting of that specific exposure;
(b) higher than the risk weight specified in this table 8 for general short-term exposures, the preferential treatment for that short-term interbank exposures specified in this table 8 for general short-term exposures cannot be applied, and all unrated short-term exposures shall be assigned that higher risk weight implied by the specific short-term rating.
12. Refer to subregulation (5)(b)(iv). Only relates to exposures when no specific short-term assessment was issued.
13. Exposures to securities firms and other financial institutions may be treated in a manner similar to exposures to ECRA banks and SCRA banks respectively, provided that—
(a) such firms and other financial institutions shall in all material respects be subject to regulatory and supervisory arrangements equivalent to banks in the RSA, including, in particular, risk-based capital requirements, liquidity requirements and regulation and supervision on a solo and consolidated basis;
(b) any securities firm or other financial institution that does not comply with the requirements specified in paragraph (a) hereinbefore shall for purposes of this subregulation (8) be regarded as a corporate entity.
14. Exposure to corporate entities, institutions or persons includes any form of loan, bond, receivable or other similar form of credit exposure to incorporated entities, associations, partnerships, proprietorships, trusts, funds, insurance entities or companies, other entities with characteristics similar to the entities envisaged hereinbefore and any other financial corporate that does not meet the definition of exposures to banks, securities firms and other financial institutions, but does not include—
(a) any exposure or entity that falls within the ambit of any one of the other specified exposure classes;
(b) subordinated debt or equities envisaged in regulations 31 and 38; and
(c) any exposure to individuals.
15. In accordance with the respective requirements specified in this table 1 read with subparagraph (iv) below.
16. In accordance with the respective requirements specified in this table 1 read with subparagraph (v) below.
17. Provided that no significant investment in a minority or majority owned or controlled commercial entity, which investment amounts to less than 15 per cent of the sum of a bank’s issued tier 1 and tier 2 capital and reserve funds, as reported in items 41, 65 and 78 of the form BA 700, shall be assigned a risk weight lower than 100 per cent.
18. Refer to subregulation (5)(b)(iv). Only relates to claims against banks and corporate entities.

 

(i) The category ECRA bank relates to exposures of the reporting bank to banks with external ratings issued by eligible institutions nominated by the reporting bank, when the reporting bank is incorporated in a jurisdiction that allows the use of external credit assessments or ratings issued by eligible institutions to determine the relevant minimum required amount of capital and reserve funds for purposes of prudential regulation and supervision, provided that—
(A) the bank shall perform robust due diligence in respect of its relevant exposures to banks, to ensure that the external ratings appropriately and conservatively reflect the creditworthiness of the bank’s relevant bank counterparties;
(B) when the aforementioned due diligence analysis or assessment reflects higher risk characteristics than that implied by the external rating bucket of the relevant exposure, for example, AAA to AA–; or A+ to A–; etc., the bank shall assign to that relevant exposure a risk weight at least one bucket higher than the risk weight specified hereinbefore in table 1 for that external rating;
(C) no due diligence analysis or assessment conducted by the bank can result in the allocation of a risk weight lower than the risk weight related to the relevant external rating specified hereinbefore in table 1.

 

(ii) The category SCRA bank relates to and includes—
(A) exposures of the reporting bank to other banks when the reporting bank is incorporated in a jurisdiction that does not allow the use of external credit assessments or ratings to determine the relevant minimum required amount of capital and reserve funds for purposes of prudential regulation and supervision;
(B) exposures of the reporting bank to other banks with an external rating issued by an eligible institution not nominated by the reporting bank, when the reporting bank is incorporated in a jurisdiction that allows the use of external credit assessments or ratings issued by eligible institutions to determine the relevant minimum required amount of capital and reserve funds for purposes of prudential regulation and supervision, which exposures shall for purposes of these Regulations be treated in a manner similar to exposures to banks that are unrated;
(C) exposures of the reporting bank to other banks that are unrated, when the reporting bank is incorporated in a jurisdiction that allows the use of external credit assessments or ratings issued by eligible institutions to determine the relevant minimum required amount of capital and reserve funds for purposes of prudential regulation and supervision; and
(D) exposures of the reporting bank to other banks with an external rating issued by an institution not regarded as an eligible institution.

 

(iii) In the case of a SCRA bank—
(A) Grade A includes exposures to counterparty banks—
(i) with adequate capacity to meet their financial commitments, including repayment of principal and interest, and in a timely manner, for the projected life of the relevant assets or exposures, and irrespective of the economic cycle or business conditions; and
(ii) that meet or exceed the published minimum regulatory requirements and buffers specified by their relevant national supervisors, which requirements are implemented in the jurisdiction where those counterparty banks are incorporated, except for bank-specific minimum regulatory requirements or buffers that may be imposed through supervisory actions, that is, a Pillar 2 add-on requirement, that may not be made public, provided that—
(aa) when any relevant minimum regulatory requirements and buffers, other than bank-specific minimum add-on requirements or buffers, are not publicly disclosed or not otherwise made available to the public by the relevant counterparty banks, those counterparty banks shall be classified as Grade B or lower;
(bb) when the bank determines as part of its due diligence analysis or assessment that a relevant counterparty bank does not meet the relevant criteria related to a Grade A bank, the bank shall classify the relevant exposures to the relevant counterparty bank as Grade B or Grade C, as the case may be.

Provided that when a counterparty bank has a CET1 capital adequacy ratio equal to or higher than 14 per cent and a Tier 1 leverage ratio equal to or higher than 5 per cent, the reporting bank may assign to its exposure to that bank without an external credit assessment or rating a risk weight of 30 per cent, instead of the 40 per cent risk weight specified in table 1.

(B) Grade B includes exposures to counterparty banks—
(i) with substantial credit risk, such as, for example, the said counterparty banks’ repayment capacities are dependent upon stable or favourable economic or business conditions;
(ii) that meet or exceed the published minimum regulatory requirements, excluding any relevant buffers, specified by their respective national supervisors, which requirements are implemented in the jurisdiction where they are incorporated, except for bank-specific minimum regulatory requirements that may be imposed through supervisory actions, that is, a Pillar 2 add-on requirement, that may not be made public. Provided that when any relevant specified minimum regulatory requirements, other than a bank-specific minimum add-on requirement, are not publicly disclosed or not otherwise made available to the public by the counterparty bank that counterparty bank shall be classified as Grade C;
(iii) that do not comply with the specified requirements for Grade A, unless the exposure meets the relevant requirements specified for Grade C, in which case the relevant exposure shall be included in Grade C.
(C) Grade C includes exposures to counterparty banks—
(i) with material risk of default and limited margins of safety, in respect of which adverse business, financial, or economic conditions are very likely to lead or have already led to an inability to meet their respective financial commitments, provided that—
(aa) when any of the triggers specified below is breached, the bank shall classify the relevant exposure to that counterparty bank as Grade C:
(i) the counterparty bank does not meet the criteria specified hereinbefore related to the published minimum regulatory requirements for a Grade B counterparty bank;
(ii) an external auditor has within the preceding 12 months issued an adverse audit opinion or has expressed substantial doubt in the financial statements or audited reports of that counterparty bank about the counterparty bank’s ability to continue as a going concern.
(D) in order to duly reflect transfer and convertibility risk, the bank shall apply to its relevant bank exposures a risk-weight floor, based upon the risk weight applicable to an exposure to the relevant sovereign of the country where the counterparty bank is incorporated when the exposure is not in the local currency of the jurisdiction of incorporation of the debtor bank and for a borrowing booked in a branch of the debtor bank in a foreign jurisdiction when the exposure is not in the local currency of the jurisdiction in which the relevant branch operates. Provided that the aforesaid sovereign floor shall not apply to self-liquidating, trade-related contingent items that arise from the movement of goods when that exposure has a maturity of less than one year.

 

(iv) ECRA corporate exposures to entities, institutions or persons relate to all corporate exposure of banks incorporated in a jurisdiction that allows the use of external credit assessments or ratings issued by eligible institutions to determine the relevant minimum required amount of capital and reserve funds for purposes of prudential regulation and supervision, provided that—
(A) the bank shall in all relevant cases make a clear distinction between—
(i) general corporate exposures, which shall be risk weighted in accordance with the relevant requirements specified in this paragraph (a); and
(ii) exposures related to specialised lending that—
(aa) among others, meets the relevant requirements specified in subparagraph (vi) below; and
(bb) shall be risk weighted in accordance with the relevant requirements and ratings specified in table 1 hereinbefore, based upon the relevant issue-specific external rating, when such a rating is available, and not any issuer rating. Provided that when no issue-specific external rating issued by an eligible institution is available, the bank shall risk weight the relevant specialised lending exposure in accordance with the requirements related to specialised lending set out in subparagraph (v) read with subparagraph (vi) below;
(B) banks that assign risk weights to their rated bank exposures envisaged in table 1 read with subparagraph (i) hereinbefore shall also assign risk weights for all their respective general corporate exposures, in accordance with the respective requirements specified in table 1 read with this subparagraph (iv);
(C) an exposure shall be regarded as rated from the perspective of the reporting bank only when the exposure is rated by an eligible credit assessment institution (ECAI) nominated by the bank, that is, the bank has informed the Authority of its intention to use the ratings of such ECAI for purposes of determining its relevant minimum required amount of capital and reserve funds, provided that—
(i) when an external rating exists but the credit rating agency

is not an ECAI; or

(ii) when the rating has been issued by an ECAI that has not been nominated by the bank for purposes of determining its relevant minimum required amount of capital and reserve funds,

that exposure shall for purposes of these Regulations be regarded as unrated from the perspective of the reporting bank;

(D) the bank shall perform robust due diligence in respect of all its relevant corporate exposures, to ensure that the relevant external ratings appropriately and conservatively reflect the creditworthiness of the bank’s relevant corporate counterparties;
(E) when the aforementioned due diligence analysis or assessment performed by the bank reflects higher risk characteristics than that implied by the external rating bucket of the relevant exposure in table 1, for example, AAA to AA–; or A+ to A–; etc., the bank shall assign to that corporate exposure a risk weight at least one bucket higher than the risk weight specified hereinbefore in table 1 in relation to that specific external rating;
(F) no due diligence analysis or assessment conducted by the bank can result in the allocation of a risk weight lower than the risk weight related to the relevant external rating specified hereinbefore in table 1;
(G) unrated corporate exposures of a bank incorporated in a jurisdiction that allows the use of external credit assessments or ratings issued by eligible credit assessment institutions to determine the relevant minimum required amount of capital and reserve funds for purposes of prudential regulation and supervision shall in the case of—
(i) unrated exposures to corporate small and medium entities (SMEs) be risk weighted in accordance with the relevant requirements specified in subparagraph (v)(E) below;
(ii) unrated corporate exposures other than unrated exposures to corporate small and medium entities (SMEs) be risk weighted at 100 per cent, as set out in table 1 hereinbefore;

 

(v) SCRA corporate exposures to entities, institutions or persons relate to all corporate exposure of banks incorporated in a jurisdiction that does not allow the use of external credit assessments or ratings issued by eligible institutions to determine the relevant minimum required amount of capital and reserve funds for purposes of prudential regulation and supervision, provided that—
(A) the bank shall in all relevant cases make a clear distinction between—
(i) general corporate exposures, which shall be risk weighted in accordance with the relevant requirements specified in this paragraph (a); and
(ii) exposures related to specialised lending that, among others—
(aa) meets the relevant requirements specified in subparagraph (vi) below; and
(bb) shall be risk weighted in accordance with the relevant requirements specified in subparagraph (vi) below;
(B) banks that assign risk weights to their rated bank exposures envisaged in table 1 read with subparagraphs (ii) and (iii) hereinbefore shall also assign risk weights for all their respective general corporate exposures in accordance with the relevant requirements specified in table 1 hereinbefore read with this subparagraph (v);
(C) the reporting bank shall duly take into account the complexity of the relevant corporate entity, institution or person’s business model, performance against industry and peers, and risks posed by the entity, institution or person’s operating environment whenever the bank assesses that corporate exposure against the respective requirements specified in this subparagraph (v) for investment grade;
(D) the category “investment grade” shall only include corporate exposures to entities, institutions or persons—
(i) with adequate capacity to meet their financial commitments in a timely manner, and their ability to do so shall be assessed to be robust against adverse changes in the economic cycle and business conditions;
(ii) that either itself or its parent company has securities outstanding on a recognised securities exchange.
(E) in the case of an unrated corporate exposure to an entity, institution or person that is part of a group in respect of which the reported annual turnover or sales for that consolidated group is less than or equal to such amount as may be directed in writing by the Authority in respect of the most recent financial year, the bank’s unrated corporate exposure to that entity, institution or person shall be regarded as a corporate small and medium entity (SME) exposure to which the bank shall assign a risk weight of 85 per cent, as set out in table 1 hereinbefore. Provided that an exposure to a SME that does not meet the criteria specified hereinbefore, shall be assessed against the relevant criteria specified in subregulation (6)(b) read with paragraph (b) below, which category of exposures includes retail SME exposures and which shall be risk weighted at 75%.

 

(vi) When a corporate exposure meets some or all the criteria specified in this subparagraph (vi), either in legal form or economic substance, the bank shall treat that exposure as a specialised lending exposure:
(A) The exposure does not relate to real estate and falls within the ambit of any one of the following three categories of specialised lending:
(i) object finance, which:
(aa) is a method of funding related to the acquisition of equipment, such as, for example, ships, aircraft, satellites, railcars, or fleets, where the repayment of the loan is dependent upon the cash flows generated by the specific assets that have been financed and pledged or assigned as collateral to the relevant lender; and
(bb) shall for purposes of determining the bank’s relevant minimum required amount of capital and reserve funds be risk-weighted at 100 per cent;
(ii) project finance, which:
(aa) is a method of funding in which the relevant lender relies primarily on the revenues generated by a single project, both as the relevant source of repayment and as security for the loan;
(bb) usually relates to the financing of large, complex and expensive installations, such as, power plants, chemical processing plants, mines, transportation infrastructure, environment, media, and telecoms;
(cc) may take the form of financing the construction of a new capital installation, or the refinancing of an existing installation, with or without improvements; and
(dd) shall for purposes of determining the bank’s relevant minimum required amount of capital and reserve funds be risk-weighted as follows:
(i) 130 per cent during the pre-operational phase; and
(ii) 100 per cent during the operational phase, that is, when the entity, institution or person that was specifically created to finance the project has a positive net cash flow that is sufficient to cover any remaining contractual obligation and has declining long-term debt, unless the relevant exposure is of high quality and complies with all the respective requirements specified in sub-sub-item (ee) below, in which case the requirements of sub-sub-item (ee) shall apply;
(ee) shall for purposes of determining the bank’s relevant minimum required amount of capital and reserve funds be risk-weighted at 80 per cent during the operational phase only when the exposure meets all the conditions specified below:
(i) The relevant project finance entity, institution or person meets its financial commitments in a timely manner and its ability to do so is assessed to be robust against adverse changes in the economic cycle and business conditions;
(ii) The relevant project finance entity, institution or person is restricted from acting to the detriment of its creditors, such as, for example, by not being able to issue additional debt without the consent of existing creditors;
(iii) The relevant project finance entity, institution or person has sufficient reserve funds or other financial arrangements in place to cover the contingency funding and working capital requirements of the project;
(iv) The revenues are availability-based or subject to a rate-of-return regulation or take-or-pay contract.

For purposes of this item (A) availability-based revenues mean that once construction is completed, the project finance entity, institution or person is entitled to payments from its contractual counterparties, such as, for example, the government, as long as contract conditions are fulfilled.

Typically, availability payments are sized to cover operating and maintenance costs, debt service costs and equity returns as the project finance entity operates the project.

Availability payments are not subject to swings in demand, such as traffic levels, and are adjusted typically only for lack of performance or lack of availability of the asset to the public.

(v) The project finance entity, institution or person’s revenue depends on one main counterparty and that main counterparty is part of the central government, a public-sector entity or a corporate entity with a risk weight of 80 per cent or lower;
(vi) The contractual provisions governing the exposure to the project finance entity, institution or person provide for a high degree of protection for creditors in case of a default of the project finance entity, institution or person;
(vii) The main counterparty or other counterparties which similarly comply with the eligibility criteria for the main counterparty will protect the creditors from the losses resulting from a termination of the project;
(viii) All assets and contracts necessary to operate the project have been pledged to the creditors to the extent permitted by the relevant and/or applicable law; and
(ix) Creditors may assume control of the project finance entity, institution or person in case of its default
(x) Such further conditions or requirements as may be directed in writing by the Authority.
(iii) commodities finance, which:
(aa) typically relates to short-term lending to finance, for example, reserves, inventories, or receivables of exchange-traded commodities, such as, for example, crude oil, metals, or crops, where the loan will be repaid from the proceeds of the sale of the commodity and the relevant borrower has no independent capacity to repay the loan; and
(bb) shall for purposes of determining the bank’s relevant minimum required amount of capital and reserve funds be risk-weighted at 100 per cent,

Provided that when the relevant exposure relates to real estate, the bank shall treat that exposure in accordance with the relevant requirements specified in paragraph (c) or paragraph (d), as the case may be.

(B) The exposure is typically to an entity, institution or person such as, for example, a special-purpose vehicle (SPV) or special-purpose entity (SPE) that was created specifically to finance and/or operate physical assets.
(C) The borrowing entity, institution or person has few or no other material assets or activities, and, as such, little or no independent capacity to repay the obligation, apart from the income that it receives from the asset(s) being financed, that is, the primary source for the repayment of the obligation is the income generated by the asset(s), rather than the independent capacity of the relevant borrowing entity, institution or person.
(D) The terms of the obligation give the relevant lender a substantial degree of control over the asset(s) and the income that it generates.

[Regulation 23(8)(a) substituted by section 2(y) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]

 

(b)In the case of an exposure that meets the criteria specified in subregulation (6)(b), which exposure shall be regarded as forming part of the bank’s retail portfolio, excluding any exposure that is overdue, in accordance with the relevant requirements specified in subregulation (6)(b).

[Regulation 23(8)(b) substituted by section 2(z) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]

 

(c)In the case of lending secured by mortgage on an occupied urban residential dwelling or occupied individual sectional title dwelling, or similar exposure to residential real estate, as envisaged in subregulation (6)(c), in accordance with the respective requirements and risk weights specified in subregulation (6)(c);—

[Words preceding Regulation 23(8)(c)(i) substituted by section 2(aa) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]

(i)does not exceed 80 per cent of the current market value of the mortgaged property, at a risk weight of 35 per cent;
(ii)exceeds 80 per cent but is less than 100 per cent of the current market value of the mortgaged property, at a risk weight of 75 per cent;
(iii)is equal to or exceeds 100 per cent of the current market value of the mortgaged property, at a risk weight of 100 per cent,

 

For example, when a bank granted and paid out a loan of R1 050 000 to a borrower, which loan is fully secured by mortgage on an occupied urban residential dwelling, the current market value of which urban residential dwelling is equal to R1 million, the bank shall risk weight the loan as follows:

(i)R800 000 at 35 per cent;
(ii)R199 999 at 75 per cent; and
(iii)R 50 001 at 100 per cent.

 

For the purposes of this paragraph (c), the terms occupied, urban and dwelling shall have the same meaning as set out in subregulation (6)(c) above.

 

(d)In the case of lending fully secured by mortgage on commercial real estate, in accordance with the respective requirements and risk weights specified in subregulation (6)(d);

[Regulation 23(8)(d) substituted by section 2(bb) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]

 

(e)In the case of exposures, other than exposures secured by residential real estate or a mortgage bond on residential property as envisaged in paragraph (c), which exposures are in default, in accordance with the relevant requirements specified in subregulation (6)(e)—

[Words preceding Regulation 23(8)(e)(i) substituted by section 2(cc) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]

(i)the unsecured portion of the exposure shall be risk weighted as follows:
(A)150 per cent when the specific credit impairment in respect of the outstanding amount of the exposure is less than 20 per cent;
(B)100 per cent when the specific credit impairment in respect of the outstanding amount of the exposure is equal to or more than 20 per cent;
(C)50 per cent when the specific credit impairment in respect of the outstanding amount of the exposure is equal to or more than 50 per cent.
(ii)the secured portion of the exposure shall be risk weighted at 100 per cent, provided that the bank obtained adequate eligible collateral and raised a credit impairment equal to or higher than 15 per cent of the outstanding exposure.

 

(f)In the case of a loan fully secured by a mortgage bond on an occupied urban residential dwelling or occupied individual sectional title dwelling, as envisaged in paragraph (c), when the exposure is in default, in accordance with the relevant requirements specified in subregulation (6)(f)—

[Words preceding Regulation 23(8)(f)(i) substituted by section 2(dd) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]

(i)at a risk weight of 100 per cent when the specific credit impairment in respect of the loan is less than 20 per cent of the outstanding amount;
(ii)at a risk weight of 50 per cent when the specific credit impairment in respect of the loan is equal to or higher than 20 per cent of the outstanding amount.

 

(g)Unless specifically otherwise provided, all off-balance-sheet exposures in accordance with the provisions of subregulation (6)(g) above.

 

(h)In the case of any securitisation or resecuritisation exposure, in accordance with the relevant requirements specified in subregulation (6)(h) above;

 

(i)In the case of all unsettled securities or derivative contracts subject to counterparty risk, in accordance with the relevant requirements specified in subregulations (15) to (19).

 

(j)Unless specifically otherwise provided in this subregulation (8), in the case of all other relevant assets or exposures, including, in particular, equity, subordinated debt or any other instrument that meets the requirements specified in the Act read with the Regulations, related to qualifying common equity tier 1, addition tier 1 or tier 2 capital, or any relevant other TLAC liability, in accordance with the relevant provisions of and requirements specified in subregulation (6)(j) read with regulation 31 and regulation 38.

[Regulation 23(8)(j) substituted by section 2(ee) of Notice 6342, GG52907, dated 26 June 2025, shall come into operation on 1 July 2025]