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 (23) Instructions relating to the completion of the monthly form BA200 are furnished with reference to the headings and item descriptions of specified columns and line items appearing on form BA200

Columns relating to counterparty credit risk analysis of standardised CVA risk weighted exposure: IRB approach, items 277 to 284
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Columns relating to counterparty credit risk analysis of standardised CVA risk weighted exposure: IRB approach, items 277 to 284

 

Column number

Description

2

EAD

This column shall reflect the relevant exposure or EAD amount, calculated in terms of the relevant requirements specified in these Regulations, after the application of any relevant discount factor.

3

Hedging: Single-name CDS

This column shall reflect the relevant required notional amount, after the application of any relevant discount factor, of a purchased single-name CDS, single-name contingent CDS and/or other eligible instrument used to hedge.

4

Hedging: Index CDS

This column shall reflect the relevant required notional amount, after the application of any relevant discount factor, of an eligible purchased index CDS used to hedge CVA risk.

5

Standardised CVA risk weighted exposure

This column shall reflect the relevant required risk weighted exposure amount related to CVA risk, calculated in terms of the the relevant requirements specified in these Regulations for the standardised approach.

 

[Regulation 23(23) substituted by section 3(q) of Notice No. 1427, GG44048, dated 31 December 2020 - effective 1 January 2021]