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 Counterparties33. Margin requirements33.5 Time horizons for the liquidation period |
| (1) | A central counterparty must define the time horizons for the liquidation period taking into account— |
| (a) | the characteristics of the financial instrument cleared; |
| (b) | the market where it is traded; and |
| (c) | the period for the calculation and collection of the margins. |
| (2) | The liquidation periods must be at least— |
| (a) | five business days for OTC derivatives; and |
| (b) | two business days for securities other than OTC derivatives. |
| (3) | A central counterparty must evaluate and calculate, for the determination of the adequate liquidation period— |
| (a) | the longest possible period that may elapse from the last collection of margins up to the declaration of default by the central counterparty or activation of the default management process by the central counterparty; |
| (b) | the estimated period required to design and execute the strategy for the management of the default of a clearing member according to the particularities of each class of financial instrument, including— |
| (i) | its level of liquidity; |
| (ii) | the size and concentration of the positions; and |
| (iii) | the markets that the central counterparty will use to close-out or hedge completely a clearing member position; |
| (c) | where relevant, the period required to cover the counterparty risk to which the central counterparty is exposed. |
| (4) | A central counterparty must consider, in evaluating the periods defined in subregulation (3), the factors indicated in Regulation 33.3 and the time period for the calculation of the historical volatility as determined in Regulation 33.4. |
| (5) | Where a central counterparty clears OTC derivatives that have the same risk characteristics as derivative instruments executed on a licensed exchange or an equivalent trading venue jurisdiction, it may use a time horizon for the liquidation period different from the one specified in subregulation (1), provided that it can demonstrate to the Authority that the time horizon— |
| (a) | is more appropriate than the time horizon specified in subregulation (1) in view of the specific features of the relevant OTC derivatives; and |
| (b) | is at least equal to two business days. |
