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 (8) Method 2: Internal models approach

Subregulation (8)(b)

Purchase

(b)

A bank that obtained the approval of the Registrar to adopt the internal models approach for the measurement of the bank's exposure to market risk shall, based on the relevant requirements relating to the standardised approach specified in subregulation (7), separately calculate a capital requirement in respect of the bank's exposure to specific risk arising from specific issuers of debt securities or equities unless the bank complies with the requirements relating to specific risk specified in paragraph (h) below, in which case the bank may use its internal models in order to calculate the bank's exposure to specific risk and the related required amount of capital and reserve funds.