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Banks Act, 1990 (Act No. 94 of 1990)

Regulations

Regulations relating to Banks' Financial Instrument Trading

Chapter 4 : Position Risk

14. Method 1: Calculation of position risk-requirement in terms of simplified method

[Regulation 14 heading substituted by regulation 4 of Notice No. R. 1465, GG 24088, dated 22 November 2002]

 

 

 

(1) The directives and interpretations set out in table 3, hereunder, shall be followed in the calculation of a bank's position-risk requirement in terms of the simplified method.

 

Table 3

(1) Loan Stock

Required capital
(a) Government or Government-guaranteed loan stock

(Market value "MV")
(i) Less than 1 year to maturity

2% of MV
(ii) Less than 3 years to maturity

5% of MV
(iii) More than 3 years to maturity

10% of MV
(b) Instruments issued or accepted by a bank

 
(i) Less than 90 days to maturity

2% of MV
(c) Marketable securities (excluding floating-rate notes) issued by other parties

 
(i) Less than 1 year to maturity

10% of MV
(ii) Less than 3 years to maturity

20% of MV
(iii) More than 3 years to maturity

30% of MV
(d) Floating-rate notes

 
(i) Less than 20 years to maturity

5% of MV
(ii) 20 years and more to maturity

10% of MV
(2) Securities

Required capital
(a) Securities listed on a licenced local financial exchange

 
(i) Mining securities

40% of MV
(ii) Other securities

30% of MV
(b) Securities traded on a foreign financial exchange (designated by the Registrar of Banks)

35% of MV
(c) Other securities

100% of MV

(3)        Commodities

Required capital

Stock positions in physical commodities associated with a bank's securities trading business

30% of realisable value

(4)        Futures, options and contracts for differences

Required capital
(a) Exchange-traded futures or options

2 x margin requirement
(b) Unlisted forward contracts or written put or call options

The appropriate percentage shown in paragraphs (1), (2) and (3) of this table should be applied to the market value of the underlying instruments' position
(c) Unlisted purchased put or call options

As for over-the-counter ("OTC") written options, but limited to the current market value of the option
(d) Contracts for differences

20% of the market value of the contract

(5)        Credit-derivative instruments

Required capital
(a) Credit-default swap

 

(b) Total return swaps

 

(c) Credit-linked notes

The appropriate percentage shown in paragraphs (1), (2) and (3) of this table should be applied to the market value of the reference asset.
(6) Other investments

Required capital
(a) Units in a registered unit-trust scheme

20% of realisable value
(b) Kruger rand

10% of realisable value
(c) An interest in an unregistered futures or options fund

50% of realisable value
(d) With-profit life-insurance policies

20% of surrender value
(e) Any other investments

100% of amount of asset value

 

[Regulation 14(1) inserted and Table 3 substituted by regulation 5(b) of Notice No. R. 1465, GG 24088, dated 22 November 2002]