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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 summary of on-balance-sheet and off-balance-sheet credit exposure: IRB approach, items 124 to 151

 

Columns relating to summary of on-balance-sheet and off-balance-sheet credit exposure: IRB approach, items 124 to 151

 

Column number

Description

1

Utilised: on-balance-sheet exposure

This column shall reflect the relevant aggregate amount in respect of amounts drawn by clients, which amounts form part of the reporting bank’s current on-balance-sheet exposure before the application of any credit risk mitigation (CRM).

2

Off-balance-sheet exposure

This column shall reflect the relevant aggregate amount in respect of—

(a)

facilities granted to clients but not drawn, that is, unutilized facilities in respect of which no funds have been paid out and no debit balance has been raised; and

(b)

other off-balance-sheet items such as guarantees and commitments made by the reporting bank,

which amounts form part of the reporting bank's total current exposure, before the application of any risk mitigation or relevant credit conversion factor.

3

Repurchase and resale agreements

This column shall reflect the relevant aggregate amount in respect of any credit exposure arising from a repurchase or resale agreement concluded by the reporting bank.

4

Derivative instruments

This column shall reflect the relevant aggregate amount in respect of any credit exposure arising from derivative instruments, including any relevant amount in respect of exposure to counterparty credit risk calculated in accordance with the relevant requirements specified in subregulations (15) to (19).

7

Total credit exposure (EAD)

This column shall reflect the aggregate amount in respect of the reporting bank’s relevant exposure weighted EAD amount, calculated in accordance with the relevant requirements specified in subregulations (11) and (13).

10

Risk weighted exposure

 

This column shall include any relevant risk weighted exposure amount calculated in respect of the reporting bank’s exposure to credit risk, after the application of a scaling factor of 1.06.

12

Risk weighted exposure in respect of assets not subject to double default adjustment

This column shall reflect the relevant aggregate amount of credit exposure not subject to any double default adjustment as envisaged in subregulation (12)(g) or (14)(f).

13

Risk weighted exposure in respect of assets subject to double default provisions, prior to adjustment

This column shall reflect the relevant aggregate amount of credit exposure subject to the requirements of double default envisaged in subregulation (12)(g) or (14)(f), prior to any relevant adjustment in respect of the said double default.

 

[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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