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

Regulations

Financial Markets Act Regulations

Schedule A

Counterparty Credit Risk (as set out in Regulation 27)

Table 27(A)
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Schedule A

 

Counterparty Credit Risk (as set out in Regulation 27)

 

Table 27(A)

 

Rating 1

Weight wi

AAA

0.7%

AA

0.7%

A

0.8%

BBB

1.0%

BB

2.0%

B

3.0%

CCC

10.0%

 

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.