Banks Act, 1990 (Act No. 94 of 1990)

Column number

Description

1

Original credit and counterparty exposure

In respect of the specified asset class this column shall reflect the relevant aggregate 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 relevant credit-conversion factor;

(c)

exposure in respect of derivative instruments, calculated in accordance with the relevant requirements specified in regulations 23(15) to 23(19);

(d)

exposure in respect of any repurchase or resale agreement.

2

Net exposure after netting agreements

In respect of the specified asset class this column shall reflect the reporting bank's net credit exposure amount after the risk reducing effect of any netting agreement that complies with the relevant requirements specified in regulations 23(12)(a), 23(14)(a) or 23(17) to 23(19) has been taken into consideration.

3

Unfunded credit protection: guarantees

In respect of the specified asset class this column shall reflect the relevant aggregate nominal amount in respect of guarantees obtained as credit protection, other than guarantees obtained that  are subject to the provisions of regulations 23(12)(g) or 23(14)(f) relating to double default—

(a)

which amount shall exclude any relevant adjustment  respect of any mismatch between the relevant credit exposure and the protection obtained;

(b)

which protection has not already been incorporated into an estimate of LGD;

(c)

the relevant value of which protection shall in no case exceed the value of the relevant exposure to which it relates.

4

Unfunded credit protection: credit derivative instruments

In respect of the specified asset class this column shall reflect the relevant aggregate nominal amount in respect of credit-derivative instruments obtained as credit protection, other than credit-derivative instruments obtained that are subject to the provisions of regulation 23(12)(g) or 23(14)(f) relating to double default—

(a)

which amount shall exclude any relevant adjustment in respect of any mismatch between the relevant credit exposure and the protection obtained;

(b)

which protection has not already been incorporated  estimate of LGD;

(c)

the relevant value of which protection shall in no case exceed the value of the relevant exposure to which it relates.

5 and 6

Redistribution of net exposure after netting: inflows

In respect of the specified asset class these columns shall include the aggregate net amount, that is, the relevant amount after the effect of netting has been taken into consideration, in respect of protected credit exposure that are deducted or redistributed from the relevant obligor's exposure class to the asset class relating to the relevant protection provider, including any redistribution in similar asset classes or sub-portfolios, or any transfer of exposure from the standardised approach to the IRB approach.

7 and 8

Redistribution of net exposure after netting: outflows

In respect of the specified asset class these columns shall include the aggregate net amount, that is, the relevant amount after the effect of netting has been taken into consideration, in respect of protected credit exposure that are redistributed to the asset class relating to the protection provider, including any redistribution in similar asset classes or sub-portfolios, or any transfer of exposure from the IRB approach to the standardised approach.

10

Credit risk mitigation subject to double default: guarantees

In respect of the specified asset class this column shall reflect the aggregate nominal amount in respect of guarantees qualifying as credit protection in accordance with the relevant requirements relating to double default specified in regulation 23(12)(g) or 23(14)(f), which amount shall exclude any adjustment in respect of any mismatch between the relevant credit exposure and the protection obtained and which protection has not already been incorporated into an estimate of LGD.

11

Credit risk mitigation subject to double default: credit derivative instruments

In respect of the specified asset class this column shall reflect the aggregate nominal amount in respect of credit derivative instruments qualifying as credit protection in accordance with the relevant requirements relating to double default specified in regulation 23(12)(g) or 23(14)(f), which amount shall exclude any adjustment in respect of any mismatch between the relevant credit exposure and the protection obtained and which protection has not already been incorporated into an estimate of LGD.

13

Unfunded credit protection: guarantees

In respect of the specified asset class this column shall reflect the aggregate nominal amount in respect of guarantees obtained as credit protection, other than guarantees obtained that are subject to the provisions of regulation 23(12)(g) or 23(14)(f) relating to double default, which amount shall exclude any adjustment in respect of any mismatch between the relevant credit exposure and the protection obtained and which protection has been incorporated into an estimate of LGD.

14

Unfunded credit protection: credit derivative instruments

In respect of the specified asset class this column shall reflect the aggregate nominal amount in respect of credit-derivative instruments obtained as credit protection, other than creditderivative instruments obtained that are subject to the provisions of regulation 23(12)(g) or 23(14)(f) relating to double default, which amount shall exclude any adjustment in respect of any mismatch between the relevant credit exposure and the protection obtained and which protection has been incorporated into an estimate of LGD.

15 to 17

Eligible financial collateral

In respect of the specified asset class, these columns shall reflect the current market value of eligible financial collateral obtained by the reporting bank as protection against an exposure to credit risk, including any eligible financial collateral subject to adjustment due to a maturity or currency mismatch, the respective aggregate amounts of which shall separately be reported as specified on the form BA 210.

18 to 20

Other eligible collateral

In respect of the specified asset class, these columns shall reflect the current market value of any eligible collateral, other than eligible financial collateral, obtained by the reporting bank as protection against an exposure to credit risk, including any relevant residential real estate or commercial real estate, the respective aggregate amounts of which shall separately be reported as specified on the form BA 210.