Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsChapter VI : Central Counterparties25. Capital calculation requirements for operational risk25.2 Advanced measurement approach |
| (1) | A licensed central counterparty must apply to the Authority for approval to use the Advanced Measurement Approach. |
| (2) | A licensed central counterparty may use the Advanced Measurement Approach based on its own operational risk measurement systems, provided that the Authority expressly approves the use of the models concerned for calculating the own funds requirement. |
| (3) | A licensed central counterparty must at all times adhere to such conditions as may be determined by the Authority, which conditions may include a period of initial monitoring by the Authority before the central counterparty is allowed to adopt the Advanced Measurement Approach for the calculation of its capital requirement in respect of operational risk. |
| (4) | To be eligible for an Advanced Measurement Approach, a central counterparty must satisfy the Authority that it meets the qualifying criteria below, in addition to the general risk management standards set out in these Regulations. |
| (5) | If an Advanced Measurement Approach is intended to be used by the central counterparty, or by the subsidiaries of a parent financial holding company of the central counterparty, the application must— |
| (a) | include a description of the methodology used for allocating operational risk capital between the different entities of the group; |
| (b) | indicate whether and how diversification effects are intended to be factored in the risk measurement system. |
| (6) | A central counterparty using the Advanced Measurement Approach for the calculation of its capital requirements for operational risk must hold capital which is at all times more than or equal to a minimum amount determined by the Authority by using the basic indicator approach calculation. |
25.2.1 Additional qualitative criteria for the advanced measurement approach
25.2.7 Business environment and internal control factors
25.2.8 Capital requirement for the advanced measurement approach
25.2.9 Eligible risk mitigation for the advanced measurement approach