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

Regulations

Financial Markets Act Regulations

Schedule A

Market Risk

Table 30(A)

 

Schedule A

 

Market Risk

 

Table 30(A)

 

Position in respect of—

Description of position and specific risk capital requirement

Government1,2

External credit assessment

Unrated

AAA to AA-

A+ to BBB-

BB+ to B-

Below B-

Residual term to maturity of—

≤ 6 months

> 6 months;

≤ 24 months

> 24 months

0%

0.25%

1%

1.60%

8%

12%

8%

Government of the RSA or South African Reserve Bank2,3

0%

Qualifying4

Residual term to maturity of—

≤ 6 months

> 6 months; ≤ 24 months

> 24 months

0.25%

1%

1.60%

 

1. Includes forms of government that qualify for a risk weight of zero % in terms of the provisions of the Regulations 30.1
2. Includes instruments such as bonds and treasury bills and other short-term instruments.
3. Provided that the relevant instrument is denominated, and funded by the central counterparty, in Rand.
4. Includes—
(a) securities issued by public sector entities and multilateral development banks;
(b) any instrument rated investment grade, that is, a rating of BBB- or an equivalent rating, or a better rating, which rating shall be issued in respect of the relevant instrument by no less than two eligible credit rating agencies;
(c) any instrument rated investment grade, that is, a rating of BBB- or an equivalent rating, by one eligible credit rating agency, and not less than investment grade by another eligible credit rating agency;
(d) any unrated instrument issued by any institution rated investment grade, that is, a rating of BBB or an equivalent rating, or a better rating, provided that the institution must be subject to comparable supervisory and regulatory arrangements than banks in the RSA, including, in particular, risk-based capital requirements and regulation and supervision on a consolidated basis, and the central counterparty has no reason to suspect that the said unrated instrument is of a lesser quality than investment grade;
(e) subject to such conditions as may be determined by the Authority, any other unrated or other instrument determined by the Authority.