Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to BanksChapter III : Corporate Governance43. Public disclosureSubregulation (2)(e) Nature and extent of risk exposuresSubregulation (2)(e)(iv) Interest-rate risk |
(iv) interest-rate risk;
A bank shall in respect of positions held in the bank's banking book—
| (A) | in addition to the qualitative information specified in paragraph (d) above, disclose to the public sufficiently detailed qualitative information relating to— |
| (i) | the nature of the bank's exposure to interest-rate risk; |
| (ii) | key assumptions made by the bank, including assumptions relating to loan prepayments and the behaviour of core deposits, that is, deposits that are not drawn in accordance with the contractual provisions of the deposits and which deposits are regarded as "permanent" funding; |
| (iii) | the frequency with which the bank measures its exposure to interest-rate risk. |
| (B) | disclose to the public, quantitative information in respect of the increase or decrease in earnings, economic value or the relevant measure used by the management of the bank, relating to a standardised upward and downward interest rate shock specified in the form BA 330 or in writing by the Registrar, provided that the bank shall break the required information down based on each relevant currency. |