Column  number

Description

1 of item 2

This item shall be equal to the sum of amounts reported in item 60 column 7 and item 71 column 7 of the form BA 500.

2 of item 2

This item shall be equal to the sum of amounts reported in item 70 column 7 and item 80 column 7 of the form BA 500.

1 of item 3

This item shall be equal to the sum of amounts reported in item 81 column 7, item 91 column 7, item 101 column 7 and item 111 column 7 of the form BA 500.

2 of item 3

This item shall be equal to the sum of amounts reported in item 90 column 7, item 100 column 7, item 110 column 7 and item 120 column 7 of the form BA 500.

1 of item 4

This item shall be equal to the sum of amounts reported in item 119 column 7 and item 129 column 7 of the form BA 500.

2 of item 4

This item shall be equal to the sum of amounts reported in item 128 column 7 and item 137 column 7 of the form BA 500.

1 and 3 of item 5

Based on the relevant requirements specified in regulation 38(5), a bank shall report in column 2 any amount included in its common equity tier 1 capital and reserve funds, which amount resulted from the recognition of any gain-on-sale in respect of a securitisation or resecuritisation transaction, such as the recognition of future margin income.

1 to 3 of item 6

This item shall reflect both credit-enhancing and non-credit enhancing interest only strips, provided that for any credit enhancing interest-only strip the relevant requirements specified in regulation 38(5) of these Regulations, read with the relevant requirements specified in table 7 in regulation 23(6)(j) should be met,

1 and 4 of item 7

These items shall reflect the relevant aggregate amount of credit impaiments raised by the reporting bank against securitisation and resecuritisation exposures

Item number

Description

8 to 22

These line items shall reflect the relevant required information in respect of new securitisation or resecuritisation activity conducted by the reporting bank during the reporting month, that is, based on notional amounts, the new market activity in respect of securitisation or resecuritisation transactions conducted during the reporting month.

Line items 8 to 22 are not intended to reflect risk related information and no negative amounts shall be reported in line items 8 to 21.

For example, during the reporting month a bank securitised mortgage advances of R3,5 billion, invested in senior commercial paper of R500 million issued in respect of an asset finance securitisation scheme and also acts as a servicing agent in respect of the said securitisation of mortgage advances.

The bank shall report the amounts specified below in the form BA 500 (R’000)

Line items 10, column 3:

Line item 17, column 5:

Line item 21, column 3:

R3 500 000

R 500 000

R3 500 000

Column number

Description

1 to 7 of item 9

These items shall reflect all amounts relating to new traditional or synthetic securitisation or resecuritisation schemes conducted during the reporting month in respect of which schemes the reporting bank acts as an originator, other than an asset-backed commercial paper programme or other schemes in respect of which the reporting bank is deemed to be an originator, which amounts shall be reported in item 12.

1 to 7 of item 14

These items shall reflect all amounts relating to new securitisation or resecuritisation schemes conducted during the reporting month in respect of which schemes the reporting bank acts as a sponsor, other than an asset-backed commercial paper programme in respect of which a bank that acts as a sponsor is deemed to be an originator.

1 to 7 of item 17

These items shall reflect all relevant amounts relating to a securitisation or resecuritisation scheme in respect of which scheme the reporting bank purchased or invested in commercial paper issued by the relevant special-purpose institution, other than an instrument issued that relate to a first-loss or second-loss credit-enhancement position in respect of which the relevant amount shall be reported in item 19.

1 to 7 of item 22

These items shall reflect any amount relating to a profit or loss made by the reporting bank in respect of the securitisation or resecuritisation of the bank’s own assets during the reporting month.

Item number

Description

23 to 41

These items shall reflect the relevant required information in respect of the month-end balances of the reporting bank, that is, the aggregate or cumulative securitisation or resecuritisation exposure amounts of the reporting bank at the end of the reporting month.

For example, during the reporting month a bank securitised mortgage advances of R3,5 billion, invested in senior commercial paper of R500 million issued in respect of an asset finance securitisation scheme that is unrelated to the banking group of which the reporting bank is a member and also acts as a servicing agent in respect of the said securitisation of mortgage advances.

The bank shall report the amounts specified below in the form BA 500 (R’000)

Line item 26, column 5:

R 500 000

Column number

Description

1 to 7 of item 25

These items shall reflect any outstanding amounts in respect of exposures retained by the reporting bank in respect of assets that were securitised or resecuritised by the said bank in terms of a traditional securitisation or resecuritisation scheme, that is, retained exposures in respect of assets previously included in the balance sheet of the reporting bank but subsequently transferred by the reporting bank to a special-purpose institution in terms of a traditional securitisation or resecuritisation scheme, which securitised or resecuritised assets have been derecognised and no longer form part of the assets of the reporting bank.

1 to 7 of item 30 to 33

These items shall reflect any outstanding amounts at month-end in respect of exposures or assets that were securitised or resecuritised by the reporting bank in terms of a securitisation or resecuritisation scheme, but in respect of which securitised or resecuritised exposures or assets the reporting bank has not achieved derecognition, and the said exposures or assets are required still to be included under the relevant exposure or asset class items, as was the case prior to the said securitisation or resecuritisation scheme.

Column number

Description

1 to 7 of items 42 to 44

These items shall reflect the respective gross securitisation exposure amounts, before the effect of any credit-conversion factor has been taken into consideration.

1 to 7 of items 45 to 47

These items shall reflect the respective gross securitisation exposure amounts, before the effect of credit risk mitigation, but after the effect of any credit-conversion factor, has been taken into consideration.

1 to 7 of items 48 to 50

These items shall reflect the respective securitisation exposure amounts after the effects of credit risk mitigation and credit-conversion factors have been taken into consideration.

1 to 7 of items 51 to 53

These items shall reflect the respective gross resecuritisation exposure amounts, before the effect of any credit-conversion factor has been taken into consideration.

1 to 7 of items 54 to 56

These items shall reflect the respective gross resecuritisation exposure amounts, before the effect of credit risk mitigation, but after the effect of any credit-conversion factor, has been taken into consideration.

1 to 7 of items 57 to 59

These items shall reflect the respective resecuritisation exposure amounts after the effects of credit risk mitigation and credit-conversion factors have been taken into consideration.

Column number

Description

1 to 7 of items 60 to 69

These items shall reflect the respective securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-IRBA as specified in regulation 23(11),where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements.

1 to 7 of item 70

These items shall reflect the respective risk weighted exposure amount of all securitisation exposures calculated in accordance with SEC-IRBA as specified in regulation 23(11), where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation exposures.

1 to 7 of items 71 to 79

These items shall reflect the respective securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-IRBA as specified in regulation 23(11) where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements.

1 to 7 of item 80

These items shall reflect the respective risk weighted exposure amount of all securitisation exposures calculated in accordance with the SEC-IRBA as specified in regulation 23(11), where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation exposures.

Column number

Description

1 to 7 of items 81 to 89

These items shall reflect the respective senior tranche securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the (SEC-ERBA) or the IAA as specified in regulation 23(11), where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements.

1 to 7 of item 90

These items shall reflect the respective risk weighted exposure amount of all senior tranche securitisation exposures calculated in accordance with the SEC-IRBA or the IAA as specified in regulation 23(11), where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation exposures.

1 to 7 of items 91 to 99

These items shall reflect the respective non-senior (thin) tranche securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-ERBA or the IAA as specified in regulation 23(11), where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements.

1 to 7 of item 100

These items shall reflect the respective risk weighted exposure amount of all non-senior (thin) tranche securitisation exposures calculated in accordance with SEC-ERBA or IAA as specified in regulation 23(11), where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation exposures,

Column number

Description

1 to 7 of items 101 to 109

These items shall reflect the respective senior tranche securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-ERBA or the IAA as specified in regulation 23(11), where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements.

1 to 7 of item 110

These items shall reflect the respective risk weighted exposure amount of all senior tranche securitisation exposures calculated in accordance with the SEC-ERBA or the IAA as specified in regulation 23(11), where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation exposures.

1 to 7 of items 111 to 119

These items shall reflect the respective non-senior (thin) tranche securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-ERBA or the IAA as specified in regulation 23(11), where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements.

1 to 7 of item 120

These items shall reflect the respective risk weighted exposure amount of all non-senior (thin) tranche securitisation exposures calculated in accordance with the SEC-ERBAor he IAA as specified in regulation 23(11), where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation exposures

Column number

Description

1 to 7 of items 121 to 129

These items shall reflect the respective securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-SA as specified in regulation 23(6), where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements

1 to 7 of item 130

These items shall reflect the respective risk weighted exposure amount of all securitisation exposures calculated in accordance with the SEC-SA as specified in regulation 23(6), where the securitisation exposure complies with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation exposures.

1 to 7 of items 131 to 139

These items shall reflect the respective securitisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-SA as specified in regulation 23(6), where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements

1 to 7 of item 140

These items shall reflect the respective risk weighted exposure amount of all securitisation exposures calculated in accordance with the SEC-SA as specified in regulation 23(6), where the securitisation exposure does not comply with “simple, transparent and comparable” securitisation requirements. The amount reported should be after the application of caps for securitisation

1 to 7 of items 141 to 148

These items shall reflect the respective resecuritisation exposure amounts where the risk weighted exposure amount is calculated in accordance with the SEC-SA as specified in regulation 23(6).

1 to 7 of item 149

These items shall reflect the respective risk weighted exposure amount of all resecuritisation exposures calculated in accordance with the SEC-SA as specified in regulation 23(6)(h), where a floor risk weight of 100% should be applied and the caps for securitisation exposures may not be applied.