Financial Markets Act, 2012 (Act No. 19 of 2012)

Regulations

Financial Markets Act Regulations

Chapter VI : Central Counterparties

26. Capital calculation requirements for credit risk

26.2 Exposure to counterparties

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(1)For the measurement of its exposure to credit risk, a licensed central counterparty must—
(a)in the case of exposures to sovereigns, central banks, public-sector entities, banks, and corporates , risk weight its exposures, net of any relevant credit impairment, in accordance with the relevant provisions of Table 26(A) in Schedule A;
(b)in the case of off-balance sheet exposure other than derivative instruments subject to the counterparty risk requirements in Regulations 27 to 29, convert the off-balance sheet exposure to a credit equivalent amount by multiplying the exposure with a 100% credit-conversion factors;
(c)in the case of all derivative instruments subject to counterparty risk, measure the exposure amount in accordance with the relevant requirements specified in Regulations 27 to 29; and
(d)in the case of all other exposures, risk weight the exposure in accordance with the relevant requirements specified in Table 26(B) in Schedule A.

 

(2)A licensed central counterparty may not have any exposure to—
(a)an individual person or small to medium business;
(b)lending secured by a residential mortgage;
(c)lending secured by a commercial mortgage;
(d)covered bonds;
(e)securitisation;
(f)venture capital; or
(g)private equity.