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

Regulations

Financial Markets Act Regulations

Schedule A

Credit Risk (Capital calculations for credit risk as set out in Regulation 26)

Table 26(A)

 

Schedule A

 

Credit Risk (Capital calculations for credit risk as set out in Regulation 26)

 

Table 26(A)

 

Claim in respect of

Credit assessment issued by credit rating agencies 1

AAA to AA-

A+ to A-

BBB+ to BBB-

BB+ to B-

Below B-

Unrated

Sovereigns

(including the Central Bank of that particular country)

0%

20%

50%

100%

150%

100%

Public-sector entities

20%

50%

50%

100%

150%

50%

Banks2

20%

50%

50%

100%

150%

50%

Banks: short-term claims3

20%

20%

20%

50%

150%

20%

Corporate entities 4,5

AAA to AA-

A+ to A-

BBB+ to BB-

Below BB-

Unrated

20%

50%

100%

150%

100%

 

1. The notations used in this table relate to the ratings used by a particular credit rating agency. The use of the rating scale of a particular credit rating agency does not mean that any preference is given to a particular credit rating agency. The assessments/ rating scales of other credit rating agencies may have been used instead.
2. With the exception of short-term self-liquidating letters of credit, no claim on an unrated bank shall be assigned a risk weighting lower than the risk weighting assigned to a claim on the central government of the country in which the bank is incorporated.
3. Claims with an original maturity of three months or less, excluding a claim which is renewed or rolled, resulting in an effective maturity of more than three months.
4. Including entities conducting insurance business.
5. No claim in respect of an unrated corporate exposure shall be assigned a risk weight lower than the risk weight assigned to a claim on the central government of the country in which the corporate entity is incorporated.