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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(C): Standard haircut1

 

Schedule A

 

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

 

Table 26(C): Standard haircut1

 

Issue rating in respect of debt securities

Residual maturity

Sovereigns 2

Other issuers

AAA to AA-/

≤ 1 year

0.5

1

> 1 year;  ≤ 5 years

2

4

> 5 years

4

8

A+ to BBB-/

≤ 1 year

1

2

> 1 year, ≤ 5 years

3

6

> 5 years

6

12

BB+ to BB-

All

15

Securities issued by the Central Government of the RSA or the South African Reserve Bank

≤ 1 year

1

> 1 year; ≤ 5 years

3

> 5 years

6

Cash in the same currency

0

 

1. Based on daily mark-to-market adjustments, daily re-margining and a ten business day holding period, expressed as a percentage.
2. Including institutions that qualify for a risk weight of zero %.