Mutual Banks Act, 1993
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 BA200Items relating to counterparty credit risk analysis of netting: IRB approach |
Items relating to counterparty credit risk analysis of netting: IRB approach
|
Item number |
Description |
|
282 |
Replacement cost |
|
This item shall reflect the relevant required netting benefit taken into consideration for calculating the relevant net replacement cost in respect of OTC derivative instruments. |
|
|
283 |
Potential future exposure add-on |
|
This item shall reflect the relevant required netting benefit taken into consideration for calculating the relevant net potential future exposure add-on amount in respect of OTC derivative instruments. |
|
|
284 |
Securities financing transactions |
|
This items shall reflect the relevant required netting benefit taken into consideration in respect of securities financing transactions. |
|
|
285 |
Cross-product netting |
|
This item shall reflect the relevant required cross-product netting amount taken into consideration by a bank that obtained the approval of the Registrar to use the internal model method for counterparty credit risk. |
