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 (7) Method 1: standardised approach

Subregulation (7)(b) Matters relating to debt securities and other interest rate related instruments

Subregulation (7)(b)(i)
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(i)Based on the relevant requirements specified in this paragraph (b), in respect of any relevant position in a debt security or interest rate instrument held by the reporting bank in its trading book, including—
(A)any fixed-rate debt security or floating-rate debt security, or similar instrument;
(B)any non-convertible preference share; and
(C)any convertible debt instrument or preference share trading in a manner similar to a debt security,

the reporting bank shall separately calculate the relevant minimum required amount of capital and reserve funds relating to specific risk and general risk.