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 risk26.2 Exposure to counterparties |
| (1) | For the measurement of its exposure to credit risk, a licensed central counterparty must— |
| (a) | in the case of exposures to sovereigns, central banks, public-sector entities, banks, and corporates , risk weight its exposures, net of any relevant credit impairment, in accordance with the relevant provisions of Table 26(A) in Schedule A; |
| (b) | in the case of off-balance sheet exposure other than derivative instruments subject to the counterparty risk requirements in Regulations 27 to 29, convert the off-balance sheet exposure to a credit equivalent amount by multiplying the exposure with a 100% credit-conversion factors; |
| (c) | in the case of all derivative instruments subject to counterparty risk, measure the exposure amount in accordance with the relevant requirements specified in Regulations 27 to 29; and |
| (d) | in the case of all other exposures, risk weight the exposure in accordance with the relevant requirements specified in Table 26(B) in Schedule A. |
| (2) | A licensed central counterparty may not have any exposure to— |
| (a) | an individual person or small to medium business; |
| (b) | lending secured by a residential mortgage; |
| (c) | lending secured by a commercial mortgage; |
| (d) | covered bonds; |
| (e) | securitisation; |
| (f) | venture capital; or |
| (g) | private equity. |
