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(C): Potential future exposure add-on factor 1
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Schedule A

 

Counterparty Credit Risk (as set out in Regulation 27)

 

Table 27(C): Potential future exposure add-on factor 1

 

Description

Protection buyer

Protection seller

Total-return swap

Qualifying2 reference obligation

5%

5%

Non-qualifying reference obligation

10%

10%

Credit-default swap

Qualifying2 reference obligation

5%

5%3

Non-qualifying reference obligation

10%

10%3

 

1.Add-on factors are not affected by differences in residual maturity.
2.Qualifying shall for purposes of this Regulation bear the same meaning as the "qualifying" category for the treatment of specific risk relating to instruments in terms of the standardised measurement method in Regulation 30
3.The protection seller of a credit-default swap shall be subject to the add-on factor only when it is subject to closeout upon the insolvency of the protection buyer while the underlying is still solvent, in which case the add-on shall be limited to the amount of any unpaid premium.