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

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(7)(a), 23(9)(a), 23(17) or 23(18) has been taken into consideration.

3

Unfunded credit protection: guarantees

In respect of the specified asset class this column shall reflect the aggregate amount in respect of guarantees obtained as credit protection, which amount shall include any adjustment in respect of any mismatch between the relevant credit exposure and the protection obtained.

4

Unfunded credit protection: credit derivative instruments

In respect of the specified asset class this column shall reflect the aggregate amount in respect of credit derivative instruments obtained as credit protection, which amount shall include any adjustment in respect of any mismatch between the relevant credit exposure and the protection obtained.

5

Funded credit protection: Collateral - simple method

In respect of the specified asset class this column shall reflect the aggregate amount in respect of collateral obtained by the reporting bank, which collateral complies with the relevant requirements specified in regulation 23(9)(b).

7 and 8

Redistribution of net exposure after netting: inflows

In respect of the specified asset class this column shall reflect 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.

9 and 10

Redistribution of net exposure after netting: outflows

In respect of the specified asset class this column shall reflect 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 original obligor's exposure class to the asset class relating to the protection provider, including any redistribution in similar asset classes or sub -portfolios, or any transfer of exposure to the IRB approach.

12

Volatility adjustment in respect of exposure

In respect of the specified asset class this column shall reflect  the relevant volatility adjustment that relates to the reporting bank's relevant credit exposure amount.

13

Adjusted value of financial collateral obtained

In respect of the specified asset class this column shall reflect the relevant adjusted value of financial collateral obtained by the reporting bank in respect of its exposure to credit risk.

14 to 17

Memorandum items in respect of financial collateral

In respect of the specified asset class these columns shall reflect the relevant required adjustments specified on the form BA 210 relating to financial collateral obtained by the reporting bank in respect of its exposure to credit risk.

18

Credit exposure value post credit risk mitigation

In respect of the specified asset class this column shall reflect the reporting bank's relevant credit exposure amount, which credit exposure amount—

(a)

shall not incorporate the effect of any relevant credit conversion factor relating to an off-balance-sheet item;

(b)

shall incorporate the effect of any relevant adjustment relating to financial collateral or other eligible credit risk mitigation instrument obtained by the reporting bank in respect of its said exposure to credit risk.