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 analysis of non-qualifying central counterparty default fund guarantees: IRB approach, items 291 and 292
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Columns relating to analysis of non-qualifying central counterparty default fund guarantees: IRB approach, items 291 and 292

 

Column number

Description

1

Prefunded default fund contribution

This column shall reflect the relevant aggregate amount related to any prefunded default fund contribution by a clearing member that will be applied upon such clearing member’s default, either along with or immediately following such member’s initial margin, to reduce any central counterparty loss.

2

Unfunded default fund contribution

This column shall reflect the relevant aggregate amount related to unfunded default fund contributions, which contributions—

(a)

are liable to be paid by a clearing member when required by the relevant central counterparty;

(b)

will be applied upon such clearing member’s default, either along with or immediately following such member’s initial margin, to reduce any central counterparty loss.

4

Risk weighted exposure

This column shall reflect the relevant aggregate risk weighted exposure amount equivalent to a deduction against capital and reserve funds.

 

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