Basic Conditions of Employment Act, 1997
R 385
Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to BanksChapter II : Financial, Risk-based and other related Returns and Instructions, Directives and Interpretations relating to the completion thereof23. Credit risk: monthly returnDirectives 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 BA200Columns relating to counterparty credit risk analysis of standardised CVA risk weighted exposure: IRB approach, items 277 to 284 |
Columns relating to counterparty credit risk analysis of standardised CVA risk weighted exposure: IRB approach, items 277 to 284
|
Column number |
Description |
|
2 |
EAD |
|
This column shall reflect the relevant exposure or EAD amount, calculated in terms of the relevant requirements specified in these Regulations, after the application of any relevant discount factor. |
|
|
3 |
Hedging: Single-name CDS |
|
This column shall reflect the relevant required notional amount, after the application of any relevant discount factor, of a purchased single-name CDS, single-name contingent CDS and/or other eligible instrument used to hedge. |
|
|
4 |
Hedging: Index CDS |
|
This column shall reflect the relevant required notional amount, after the application of any relevant discount factor, of an eligible purchased index CDS used to hedge CVA risk. |
|
|
5 |
Standardised CVA risk weighted exposure |
|
This column shall reflect the relevant required risk weighted exposure amount related to CVA risk, calculated in terms of the the relevant requirements specified in these Regulations for the standardised approach. |
[Regulation 23(23) substituted by section 3(q) of Notice No. 1427, GG44048, dated 31 December 2020 - effective 1 January 2021]
