National Environmental Management Act, 1998 (107 of 1998)
R 385
Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsChapter VI : Central Counterparties26. Capital calculation requirements for credit risk26.1 Use of credit ratings |
| (1) | A licensed central counterparty must in a consistent manner, in accordance with the relevant requirements in these Regulations, and in terms of its internal risk management process, apply the ratings or assessments issued by a credit rating agency of the central counterparty’s choice, to calculate its risk exposure in terms of the provisions contained in these Regulations. |
| (2) | A licensed central counterparty may not— |
| (a) | "cherry pick" ratings or assessments issued by different credit rating agencies; |
| (b) | arbitrarily change the use of a credit rating agency; or |
| (c) | apply ratings or assessments for purposes of these Regulations differently from its internal risk management process. |
Multiple assessments
| (3) | In the event that a licensed central counterparty has an option between— |
| (a) | two assessments issued by credit rating agencies, which assessments relate to different risk weighting categories, it must apply the higher of the two risk weights; or |
| (b) | three or more assessments issued by credit rating agencies, which assessments relate to different risk weighting categories, it must apply the higher of the lowest two risk weights. |
Unsolicited ratings
| (4) | A licensed central counterparty may not without the prior written consent of the Authority, and other than in accordance with any conditions determined by the Authority, make use of unsolicited ratings issued by a credit rating agency. |
| (5) | A licensed central counterparty must assess all relevant credit exposures, regardless of whether the exposures are rated or unrated, to determine whether the risk weights applied to the exposures in terms this Regulation are appropriate, based on the respective exposures’ inherent risk, provided that, when it determines that the inherent risk of an exposure, particularly if the exposure is unrated, is significantly higher than that implied by the risk weight to which it is assigned, the central counterparty must consider the higher degree of credit risk in the evaluation of its overall capital adequacy. |
