Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsChapter VI : Central Counterparties27. Capital calculation requirements for credit risk |
For the purposes of this Regulation—
"current exposure"
means the loss that a central counterparty would face immediately if a clearing member or counterparty were to default;
means any potential credit exposure that a central counterparty could face at a future point in time;
"qualifying central counterparty"
means a central counterparty that—
| (a) | is licensed to perform functions as a central counterparty, which license may include a license granted by way of a specific exemption; |
| (b) | is permitted by the relevant Authorities to perform central counterparty functions with or in respect of specified products and counterparties; |
| (c) | is prudentially supervised, and which the Authority and the South African Reserve Bank have publicly confirmed is continuously subject to Regulations, standards and rules that are consistent with the relevant Principles for Financial Market Infrastructures 4 , developed by the Committee on Payment and Settlement Systems (“CPSS”) and the International Organization of Securities Commissions (“IOSCO”), and issued from time to time; and |
| (c) | in respect of an external central counterparty, is based in an equivalent jurisdiction in which it is prudentially supervised by an authority that publicly confirms that all relevant central counterparties performing functions in that jurisdiction are continuously subject to Regulations, standards and rules that are consistent with the relevant CPSS-IOSCO Principles for Financial Market Infrastructures, issued from time to time; |
in relation to counterparty credit risk includes the current exposure and the potential exposure of a clearing member or client to a central counterparty arising from—
| (i) | Transactions in OTC derivative instrument; |
| (ii) | Transactions in exchange-traded derivatives; |
| (iii) | Securities financing transactions; or |
| (iv) | Initial margin, |
Provided that the current exposure of a clearing member included any variation margin due to the clearing member but not yet received.
in relation to a central counterparty's exposure to counterparty credit risk includes—
| (i) | repo-style transactions, that is, transactions such as repurchase or resale agreements, and securities lending or borrowing transactions; and |
| (ii) | other capital-market-driven transactions, that is, transactions such as derivatives instruments and margin lending. |
27.3 Exposures to qualifying central counterparties
27.4 Exposures to non-qualifying central counterparties
4 The Committee on Payment and Settlement Systems (CPSS) was renamed as the Committee on Payments and Market Infrastructures, or CPMI in September 2014. CPSS-IOSCO, Principles for Financial Market Infrastructures (April, 2012). Available: http://www.bis.org/cpmi/publ/d101a.pdf