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 thereof29. Daily return: selected risk exposure arising from trading and treasury activitiesDirectives, definitions and interpretations for completion of daily return concerning selected risk exposure (Form BA 325) |
| (1) | The content of the relevant return is confidential and not available for inspection by the public. |
| (2) | The purpose of the form BA 325, amongst other things— |
| (a) | is to determine on a daily basis the nature and extent of the reporting bank's exposure to and the related capital requirements in respect of— |
| (i) | market risk or position risk; and |
| (ii) | counterparty risk arising from positions held in the bank's trading book; |
| (b) | is to obtain selected liquidity related information from banks that submit daily information in respect of their exposure to market risk; |
| (c) | is to obtain selected information in respect of the bank's exposure to currency risk arising from positions held in the bank's banking book and trading book. |
| (3) | The aggregate effective net open foreign currency position of the reporting bank in the Republic, together with its foreign operations, calculated in the manner prescribed in this form BA 325, in any one foreign currency and in all foreign currencies taken together, shall not at the close of business on any day exceed an amount specified in writing by the Registrar. |
| (4) | Instructions relating to the completion of the daily return concerning selected risk exposure are furnished with reference to the item descriptions and line item numbers appearing on form BA 325, as follows: |
Line item
1, 18 to 23
and
| 24 to 35 | Market or position risk requirement |
Based on, amongst other things, the relevant directives and requirements specified in regulation 28 and in the form BA 320, these items shall reflect the reporting bank's respective required amounts of capital and reserve funds in respect of market risk or position risk.
| 5 | Allocated capital and reserve funds for market risk |
This item shall reflect the relevant amount of allocated capital and reserve funds in order to provide for the risks pertaining to or arising from the bank's exposure to market risk.
| 7 to 10 | Counterparty risk |
Based on, amongst other things, the relevant directives and requirements specified in regulation 23 and in the form BA 200, these items shall reflect the respective required amounts of capital and reserve funds relating to counterparty credit risk incurred by the reporting bank in respect of transactions, agreements, contracts or instruments held in its trading book.
| 11 | SARB repo participation |
Based on, amongst other things, the relevant information reported to the bank's senior management and board of directors, this item shall reflect the relevant required amount relating to the bank's participation in the repo-market activity of the Reserve Bank.
| 12 to 14 | Liquid assets |
Based on, among other things, the relevant information reported to the bank's senior management and board of directors, and the relevant directives specified in regulation 27 and in the form BA 310, these items shall reflect the respective required amounts relating to the bank's statutory liquid asset portfolio, including information relating to the daily balance of liquid assets held, the month-to-date average of liquid assets held and the bank's liquid asset requirement.
| 24 to 35 | VaR amounts |
A bank that adopted the internal models approach for the measurement of the bank's exposure to position risk or market risk shall report in items 24 to 35 the relevant required information relating to, amongst other things, the bank's VaR amount calculated in accordance with the relevant directives and requirements specified in regulation 28(8) and in the form BA 320, and the specified information relating to the bank's internal VaR amount and backtesting results.
| 30 | Diversification benefit |
Based on the previous day's VaR amount and the respective specified risk categories and/or trading desks, a bank shall report the relevant diversification benefit in line item 30.
| 36 to 77 | Foreign-currency exposure |
Items 36 to 75 shall reflect the foreign-currency positions in selected currencies and in all currencies taken together in respect of the reporting bank in the Republic.
| 37 | A non-resident is an individual, institution or branch of an authorized dealer domiciled outside the Republic of South Africa. |
| 40 | Foreign currency on-lent to a non-resident represents advances on-lent to the off-shore office or branch of a South African institution, in terms of the rules, regulations or arrangements issued by the Financial Surveillance Department of the South African Reserve Bank from time to time. (Refer to line item 55 below.) |
| 42 | A resident is an individual or institution domiciled in the Republic of South Africa. |
| 43 | A customer foreign-currency account (CFC), as an asset account, is a foreign-currency account of a South African institution with an authorized dealer, in terms of the rules, regulations or arrangements issued by the Financial Surveillance Department of the South African Reserve Bank from time to time. |
| 45 | An authorized dealer is an institution domiciled in the Republic of South Africa that has been authorized to deal in foreign currency. |
| 52 | Foreign-currency funding represents loans obtained by the reporting bank, at the bank's own initiative. |
| 53 | Foreign-currency deposits are deposits placed with the reporting bank by non-residents. |
| 54 | Foreign-currency deposits held in respect of securities lending represent deposits placed with the reporting bank in respect of securities-lending transactions, in terms of the rules, regulations or arrangements issued by the Financial Surveillance Department of the South African Reserve Bank from time to time. |
| 55 | Foreign-currency borrowing on-lent to non-residents represents deposits obtained from the parent company of a foreign institution and on-lent to the off-shore office or branch of a South African institution, in terms of the rules, regulations or arrangements issued by the Financial Surveillance Department of the South African Reserve Bank from time to time. |
| 57 | Customer foreign-currency accounts (CFC), as a liability, reflect foreign-currency accounts of South African institutions in terms of the CFC rules, regulations or arrangements issued by the Financial Surveillance Department of the South African Reserve Bank from time to time. |
| 58 | Foreign-currency accounts (CFA) reflect resident foreign-currency accounts held with the reporting bank, in terms of the rules, regulations or arrangements issued by the Financial Surveillance Department of the South African Reserve Bank from time to time. |
| 61 | Commitments to purchase foreign currency include all unsettled transactions with a commitment to purchase foreign exchange, that is, spot, forward, options, futures and interest flows, etc., at close of business on the reporting date. |
| 68 | Commitments to sell foreign currency include all unsettled transactions with a commitment to sell foreign exchange, that is, spot, forward, options, futures and interest flow, etc., at close of business on the reporting date. |
| 62 to 73 | For purposes of the completion of items 62 to 73, all transaction between the reporting bank and— |
| - | import and/or export companies, individuals, parastatals and other financial and non-financial companies resident in the Republic, excluding the South African Reserve Bank and other authorized dealers, shall be reported as transactions with residents; |
| - | any institution, individual, government, an authorized dealer in foreign exchange resident outside the Republic, etc. shall be reported as transactions with non-residents; |
| - | other authorized dealers resident in the Republic shall be reported as transactions with authorized dealers; |
| - | the South African Reserve Bank shall be reported as transactions with the S A Reserve Bank. |