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

23. Credit risk: monthly return

Directives and interpretations for completion of monthly return concerning credit risk (Form BA 200)

Subregulation (17) Margin requirements for non-centrally cleared derivative instruments and matters related thereto
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[Subregulation (17) Heading substituted by section 3(k) of Notice No. 1427, GG44048, dated 31 December 2020 - effective 1 January 2021]

 

(17) Margin requirements for non-centrally cleared derivative instruments and matters related thereto

 

In order to mitigate the potential systemic risk that may arise from and to promote effective and sound risk management in respect of a bank’s transactions in non-standardised non-centrally cleared derivative instruments a bank shall—

 

(a) calculate and exchange—

 

(i) initial margin;

 

and

 

(ii) variation margin,

 

in accordance with such requirements as may be specified from time to time in a Joint Standard or Prudential Standard issued in terms of the Financial Sector Regulation Act, 2017;

 

(b) have in place robust processes, procedures and board-approved policies in respect of the bank’s derivatives transactions that are not cleared through a central counterparty.

 

[Regulation 23(17) substituted by section 3(k) of Notice No. 1427, GG44048, dated 31 December 2020 - effective 1 January 2021]