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

28. Market risk

Directives and interpretations for completion of monthly return concerning market risk (Form BA 320)

Subregulation (4)

Purchase

(4)	For the measurement of a bank's exposure to market risk (position risk) as envisaged in subregulation (3), the bank shall, at the discretion of the bank, use one of the alternative methodologies specified below.

(a)	The standardised approach envisaged in subregulation (7) below, which standardised approach is based on a building-block method;

(b)	Subject to the bank's compliance with specified conditions and the prior written approval of the Registrar, the internal models approach envisaged in subregulation (8) below; or

(c)	Subject to the bank's compliance with the conditions specified in subregulation (5) below, the prior written approval of the Registrar and such further conditions as may be specified in writing by the Registrar, a combination of the said standardised approach and internal models approach.

Provided that when a bank is unable, unwilling or unprepared to comply with the qualifying criteria specified for a particular approach for the measurement of the bank's exposure to market risk, the Registrar may in writing direct the bank to apply a different specified approach, subject to such conditions as may be specified in writing by the Registrar.