Maintenance Act, 1998
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 thereof28. Market riskDirectives and interpretations for completion of monthly return concerning market risk (Form BA 320)Subregulation (7) Method 1: standardised approachSubregulation (7)(a) |
| (a) | A bank that adopts the standardised approach for the measurement of the bank's exposure to market risk, which standardised approach is based on a building-block method— |
| (i) | shall on a daily basis and in accordance with the relevant requirements specified in this subregulation (7) separately calculate its exposure to— |
| (A) | specific risk and general market risk arising from all relevant debt and equity positions held in the bank's trading book; |
| (B) | foreign exchange risk arising from all relevant foreign currency and gold positions held by the bank; |
| (C) | commodity risk arising from all relevant commodity positions held by the bank; |
| (D) | risks arising from all relevant positions in options. |
| (ii) | shall in order to measure the bank's exposure to price risk arising from option positions implement the more sophisticated methods specified in paragraph (f) below when the bank engages in the writing of options or when the bank conducts business in exotic options, provided that in the longer term a bank that is a significant trader in options, that is, a bank that holds unexpired positions in excess of 10 per cent of the aggregate amount of unexpired positions in the market, shall adopt and implement comprehensive value-at-risk models and shall be subject to the full range of quantitative and qualitative requirements specified in subregulation (8) below, and such further quantitative and qualitative requirements as may be specified in writing by the Registrar. |
