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 thereof14. Trading activities |
| (1) | All items included in a bank's trading book or comprising a bank's trading portfolio— |
| (a) | shall be reported in the forms prescribed in these Regulations and shall be reflected against the appropriate items and in the columns specified in the relevant forms; |
| (b) | shall be reported in accordance with the relevant instructions, directives and interpretations of these Regulations; |
| (c) | shall on a daily basis be marked to market or when the bank adopted an approach of marking to model, the bank shall assess on a daily basis the relevant parameters of the model; |
| (d) | shall be managed and monitored in terms of duly defined policies and procedures, and a duly defined trading strategy, which policies, procedures and strategy— |
| (i) | shall be approved by the bank's board of directors and senior management; |
| (ii) | shall be duly documented; |
| (e) | shall be managed through a trading desk by dealers with the autonomy, amongst other things, to enter into or manage the positions within the agreed limits and in accordance with the said board approved policies, procedures and trading strategy of the bank; |
| (f) | shall be subject to appropriate position limits; |
| (g) | shall be reported to the senior management of the bank as an integral part of the bank's day-to-day risk management process; |
| (h) | shall actively be monitored with reference to relevant market information, including a continuous assessment by the bank of— |
| (i) | market liquidity; |
| (ii) | the ability to hedge positions; |
| (iii) | the extent of turnover in the market; |
| (iv) | the quality and availability of information that has an impact on the bank's valuation process; |
| (v) | the extent and nature of relevant positions traded in the market. |