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

Regulations

Financial Markets Act Regulations

Schedule A

Market Risk

Table 30(A)
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Schedule A

 

Market Risk

 

Table 30(A)

 

Position in respect of—

Description of position and specific risk capital requirement

Government1,2

External credit assessment

Unrated

AAA to AA-

A+ to BBB-

BB+ to B-

Below B-

Residual term to maturity of—

≤ 6 months

> 6 months;

≤ 24 months

> 24 months

0%

0.25%

1%

1.60%

8%

12%

8%

Government of the RSA or South African Reserve Bank2,3

0%

Qualifying4

Residual term to maturity of—

≤ 6 months

> 6 months; ≤ 24 months

> 24 months

0.25%

1%

1.60%

 

1.Includes forms of government that qualify for a risk weight of zero % in terms of the provisions of the Regulations 30.1
2.Includes instruments such as bonds and treasury bills and other short-term instruments.
3. Provided that the relevant instrument is denominated, and funded by the central counterparty, in Rand.
4.Includes—
(a)securities issued by public sector entities and multilateral development banks;
(b)any instrument rated investment grade, that is, a rating of BBB- or an equivalent rating, or a better rating, which rating shall be issued in respect of the relevant instrument by no less than two eligible credit rating agencies;
(c)any instrument rated investment grade, that is, a rating of BBB- or an equivalent rating, by one eligible credit rating agency, and not less than investment grade by another eligible credit rating agency;
(d)any unrated instrument issued by any institution rated investment grade, that is, a rating of BBB or an equivalent rating, or a better rating, provided that the institution must be subject to comparable supervisory and regulatory arrangements than banks in the RSA, including, in particular, risk-based capital requirements and regulation and supervision on a consolidated basis, and the central counterparty has no reason to suspect that the said unrated instrument is of a lesser quality than investment grade;
(e)subject to such conditions as may be determined by the Authority, any other unrated or other instrument determined by the Authority.