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 risk26.3 Reduction of credit exposure |
| (1) | A licensed central counterparty may reduce its credit risk exposure to the extent that it achieves an effective and verifiable transfer of risk, if it— |
| (a) | obtains eligible collateral, guarantees or credit derivative instruments. |
| (b) | enters into a netting agreement with a clearing member that maintains both debit and credit balances with the central counterparty. |
| (2) | No transaction in respect of which the central counterparty obtained credit protection may be assigned a risk weight higher than the risk weight that applies to a similar transaction in respect of which no credit protection was obtained. |
| (3) | A central counterparty may, if its clearing member maintains both debit and credit balances with the central counterparty and if it enters into a netting agreement in respect of the relevant debit and credit with the counterparty, regard the exposure, in the calculation of the its risk exposure, as a collateralised exposure in accordance with the provisions of subregulation (6) provided that the central counterparty— |
| (a) | has a well-founded legal basis for concluding that the netting or offsetting agreement is enforceable in each relevant jurisdiction, regardless whether the counterparty is insolvent or in liquidation; |
| (b) | is at any time be able to determine the assets and liabilities with the specific counterparty to the netting agreement; |
| (c) | monitors and controls any potential roll-off risk in respect of the debit and credit balances; and |
| (d) | monitors and controls the relevant exposures on a net basis. |
