Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsSchedule ACredit Risk (Capital calculations for credit risk as set out in Regulation 26)Table 26(A) |
Schedule A
Credit Risk (Capital calculations for credit risk as set out in Regulation 26)
Table 26(A)
Claim in respect of |
Credit assessment issued by credit rating agencies 1 |
|||||
AAA to AA- |
A+ to A- |
BBB+ to BBB- |
BB+ to B- |
Below B- |
Unrated |
|
Sovereigns (including the Central Bank of that particular country) |
0% |
20% |
50% |
100% |
150% |
100% |
Public-sector entities |
20% |
50% |
50% |
100% |
150% |
50% |
Banks2 |
20% |
50% |
50% |
100% |
150% |
50% |
Banks: short-term claims3 |
20% |
20% |
20% |
50% |
150% |
20% |
Corporate entities 4,5 |
AAA to AA- |
A+ to A- |
BBB+ to BB- |
Below BB- |
Unrated |
20% |
50% |
100% |
150% |
100% |
| 1. | The notations used in this table relate to the ratings used by a particular credit rating agency. The use of the rating scale of a particular credit rating agency does not mean that any preference is given to a particular credit rating agency. The assessments/ rating scales of other credit rating agencies may have been used instead. |
| 2. | With the exception of short-term self-liquidating letters of credit, no claim on an unrated bank shall be assigned a risk weighting lower than the risk weighting assigned to a claim on the central government of the country in which the bank is incorporated. |
| 3. | Claims with an original maturity of three months or less, excluding a claim which is renewed or rolled, resulting in an effective maturity of more than three months. |
| 4. | Including entities conducting insurance business. |
| 5. | No claim in respect of an unrated corporate exposure shall be assigned a risk weight lower than the risk weight assigned to a claim on the central government of the country in which the corporate entity is incorporated. |