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 credit capital requirements based on risk weights: standardised approach, items 47 to 69
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Columns relating to credit capital requirements based on risk weights: standardised approach, items 47 to 69

 

Column number

Description

1

Total gross credit exposure

 

This column shall reflect the relevant aggregate gross credit exposure amount relating to the reporting bank’s—

 

(a) on-balance-sheet exposure, gross of any valuation adjustment or credit impairment;

 

(b) off-balance-sheet exposure, including amounts in respect of irrevocable commitments, prior to the application of any credit conversion factor;

 

(c) exposure in respect of any repurchase or resale agreement;

 

(d) exposure in respect of derivative instruments, calculated in accordance with the relevant requirements specified in subregulations (15) to (19).

2

Specific credit impairment

 

This column shall reflect the relevant aggregate amount relating to any specific credit impairment in respect of the exposure amount reported in column 1.

3

Exposure amount post credit risk mitigation (CRM) and specific credit impairment

 

This column shall reflect the reporting bank’s relevant adjusted exposure amount, that is, the relevant amount net of any credit risk mitigation and specific credit impairment, calculated in accordance with the relevant requirements specified in these Regulations.

4 to 10

Breakdown of off-balance-sheet exposure based on credit conversion factors (CCF)

 

Based on the relevant credit conversion factors specified in subregulation (6)(g), these columns shall reflect the appropriate breakdown of the reporting bank’s adjusted exposure, that is, amounts included in column 3, relating to off-balance-sheet exposure.

 

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