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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 analysis of central counterparty trade exposure: IRB approach, items 285 to 288

 

Columns relating to analysis of central counterparty trade exposure: IRB approach, items 285 to 288

 

Column number

Description

1

Trade exposure

This column shall reflect the current and potential future exposure amount of a clearing member or a client to a central counterparty arising from any relevant OTC derivative instrument, exchange traded derivative transaction or securities financing transaction, calculated in accordance with the relevant requirements specified in subregulation (16) read with the relevant requirements respectively specified in subregulations (18) or (19) of these Regulations for the standardised approach or the internal model method.

3

Risk weighted exposure

This column shall reflect the relevant required risk weighted exposure amount of a clearing member or a client to a central counterparty arising from any relevant OTC derivative instrument, exchange traded derivative transaction or securities financing transaction, calculated in accordance with the relevant requirements specified in subregulation (16) read with the relevant requirements respectively specified in subregulations (18) or (19) of these Regulations for the standardised approach or the internal model method.

 

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

 

 


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