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

Regulations

Financial Markets Act Regulations

Schedule A

Credit Risk (Capital calculations for credit risk as set out in Regulation 26)

Table 26(C): Standard haircut1

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Schedule A

Credit Risk (Capital calculations for credit risk as set out in Regulation 26)

Table 26(C): Standard haircut1

Issue rating in respect of debt securities	Residual maturity	Sovereigns 2	Other issuers
AAA to AA-/	≤ 1 year	0.5	1
	> 1 year; ≤ 5 years	2	4
	> 5 years	4	8
A+ to BBB-/	≤ 1 year	1	2
	> 1 year, ≤ 5 years	3	6
	> 5 years	6	12
BB+ to BB-	All	15
Securities issued by the Central Government of the RSA or the South African Reserve Bank	≤ 1 year	1
	> 1 year; ≤ 5 years	3
	> 5 years	6
Cash in the same currency		0

1.	Based on daily mark-to-market adjustments, daily re-margining and a ten business day holding period, expressed as a percentage.

2.	Including institutions that qualify for a risk weight of zero %.