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

Items relating to counterparty credit risk analysis of netting: IRB approach
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Items relating to counterparty credit risk analysis of netting: IRB approach

 

Item number

Description

282

Replacement cost

This item shall reflect the relevant required netting benefit taken into consideration for calculating the relevant net replacement cost in respect of OTC derivative instruments.

283

Potential future exposure add-on

This item shall reflect the relevant required netting benefit taken into consideration for calculating the relevant net potential future exposure add-on amount in respect of OTC derivative instruments.

284

Securities financing transactions

This items shall reflect the relevant required netting benefit taken into consideration in respect of securities financing transactions.

285

Cross-product netting

This item shall reflect the relevant required cross-product netting amount taken into consideration by a bank that obtained the approval of the Registrar to use the internal model method for counterparty credit risk.