D2/2012: Amendments to Form BA200 under the Amended Regulations relating to Banks

[Logo: South African Reserve Bank] South African Reserve Bank From the Office of the Registrar of Banks

D2/2012

2012-01-24

To banks, branches of foreign institutions, controlling companies and auditors of banks or controlling companies

Directive 2/2012 issued in terms of section 6(6) of the Banks Act, 1990

Matters related to the form BA 200 of the “Amended Regulations relating to Banks”

Executive summary

The Bank Supervision Department (BSD) recently issued the “Amended Regulations relating to Banks”, in which the forms for regulatory reporting were also amended. The BSD deemed it appropriate to require banks to report specified credit risk-related information in addition to the information currently required as part of the forms BA 200, BA 210 and BA 220.

This directive serves to inform banks, branches of foreign institutions, controlling companies and auditors of banks or controlling companies (hereinafter collectively referred to as banks) of further information required to be reported as of 1 January 2012.

1. Introduction

1.1 In order to ensure that the South African regulatory framework remains in line with the latest international regulatory, supervisory and market developments, the BSD recently amended the Regulations relating to Banks (the Regulations). As part of the amended Regulations, which were implemented with effect from 1 January 2012, the BSD deemed it appropriate to require banks to report specified credit risk-related information in addition to the information currently required as part of the forms BA 200, BA 210 and BA 220.

2. Directive

2.1 Attached hereto please find Annexure A, which sets out the specified information required to be reported by banks as of 1 January 2012:

2.1.1 Lines 491 to 513, columns 1 to 26 of the form BA 200 have been incorporated into the amended Regulations.

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2

2.1.2 In addition, banks are hereby directed to complete a further three columns in order to allow the BSD to duly discharge its supervisory duties in respect of banks’ exposure to credit risk. In order to facilitate banks’ reporting via SARBDEX in Extensible Markup Language (XML) format, the additional required information shall be added to the form BA 200 as columns 27 to 29.

2.1.3 The additional information will be incorporated into the next round of amendments to the Regulations.

3. Acknowledgement of receipt

3.1 Two additional copies of this directive are enclosed for the use of your institution’s independent auditors. The attached acknowledgement of receipt, duly completed and signed by both the chief executive officer of the institution and the said auditors, should be returned to this Office at the earliest convenience of the aforementioned signatories.

[Signature]

René van Wyk Registrar of Banks

The previous directive issued was Directive 1/2012 dated 23 January 2012.

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Annexure A

(all amounts to be rounded off to the nearest R000)

IRB approach: Analysis of total credit exposure, that is, EAD, analysed by LGD band	Line no.	Specified LGD band		Asset class¹
		Lower bound (%)	Upper bound (%)	Corporate	Specialised lending - High volatility commercial real estate (property development)	Specialised lending - Object producing real estate	Specialised lending - Object finance	Specialised lending - Commodity finance	Specialised lending - Project finance	SME corporate	Purchased corporate	Total corporate (total of col. 3 to 10)	Public sector entities
			1	2	3	4	5	6	7	8	9	10	11
00	491		10.0000
01	492	10.0001	20.0000
02	493	20.0001	30.0000
03	494	30.0001	40.0000
04	495	40.0001	50.0000
05	496	50.0001	60.0000
06	497	60.0001	70.0000
07	498	70.0001	80.0000
08	499	80.0001	90.0000
09	500	90.0001	100.0000
10	501	100.0001	and more

IRB approach: Analysis of total credit exposure, that is, EAD, analysed by LGD band	Line no.	Banks	Securities firms	Total retail (total of col 17, 18, 20, 23 and 27)	Residential mortgage advances	Total	of which: credit cards	Total	of which: SME retail lending	of which: other retail lending	Total	of which: vehicle asset finance	of which: lending ≤ R20 000	of which: unsecured lending > R20 000	Purchased receivables retail
		14	15	16	17	18	19	20	21	22	23	24	25	26	27
00	491
01	492
02	493
03	494
04	495
05	496
06	497
07	498
08	499
09	500
10	501

1. In respect of the relevant specified LGD bands and asset classes, a bank shall report the aggregated amount of its total credit exposure, that is, the relevant EAD amount, calculated in accordance with the relevant requirements specified in these Regulations.

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(all amounts to be rounded off to the nearest R000)

Advance IRB approach: Analysis of performing credit exposure, that is, EAD, analysed by effective maturity	Line no.	Specified maturity band		Asset class³
		Lower bound (Years)	Upper bound (Years)	Corporate	Specialised lending - High volatility commercial real estate (property development)	Specialised lending - Object producing real estate	Specialised lending - Object finance	Specialised lending - Commodity finance	Specialised lending - Project finance	SME corporate	Purchased corporate	Total corporate (total of col. 3 to 10)	Public sector entities
			1	2	3	4	5	6	7	8	9	10	11
00	502		0.5000
01	503	0.5001	1.0000
02	504	1.0001	1.5000
03	505	1.5001	2.0000
04	506	2.0001	2.5000
05	507	2.5001	3.0000
06	508	3.0001	3.5000
07	509	3.5001	4.0000
08	510	4.0001	4.5000
09	511	4.5001	5.0000
10	512	5.0001	and longer
Total EAD weighted average effective maturity²	513

1. In respect of the relevant specified maturity bands and asset classes, a bank shall report the aggregated amount of its total credit exposure, that is, the relevant EAD amount, calculated in accordance with the relevant requirements specified in these Regulations.
2. The 1 year regulatory floor and the 5 year maximum effective maturity used for the calculation of minimum required capital and reserve funds, shall be disregarded for purposes of the completion of the items 502 to 513.
3. The same method used for the calculation of minimum required capital and reserve funds, such as the cash-flow formula of maximum remaining time, without taking into consideration the relevant specified 1 year regulatory floor and 5 year maximum effective maturity limit.

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(all amounts to be rounded off to the nearest R000)

Advance IRB approach: Analysis of performing credit exposure, that is, EAD, analysed by effective maturity	Line no.	Banks³	Securities firms³	Total retail (total of col 17, 18, 20, 23 and 27)	Residential mortgage advances	Total	of which: credit cards	Total	of which: SME retail lending	of which: unsecured lending	Total	of which: asset finance	of which: lending ≤ R20 000	of which: unsecured lending > R20 000	Purchased receivables retail
		14	15	16	17	18	19	20	21	22	23	24	25	26	27
00	502
01	503
02	504
03	505
04	506
05	507
06	508
07	509
08	510
09	511
10	512
Total EAD weighted average effective maturity²	513

1. In respect of the relevant specified maturity bands and asset classes, a bank shall report the aggregated amount of its total credit exposure, that is, the relevant EAD amount, calculated in accordance with the relevant requirements specified in these Regulations.
2. The 1 year regulatory floor and the 5 year maximum effective maturity used for the calculation of minimum required capital and reserve funds, shall be disregarded for purposes of the completion of the items 502 to 513.
3. The same method used for the calculation of minimum required capital and reserve funds, such as the cash-flow formula of maximum remaining time, without taking into consideration the relevant specified 1 year regulatory floor and 5 year maximum effective maturity limit.
4. Based on the maximum remaining time, without taking into consideration any relevant specified floor or maximum effective maturity limit.