Regulatory Alerts2015-03-27
Capital requirements for over-the-counter derivatives not transacted through a central counterparty
The Office of the Registrar of Banks for the South African Reserve Bank issued Directive D5/2015 to mandate specific capital requirements for over-the-counter derivatives not cleared through a licensed central counterparty. Effective 1 April 2015, the directive requires banks to calculate and report counterparty credit risk and credit valuation adjustment capital for domestic currency and local bilateral trades using prescribed regulatory forms. Institutions must apply bilateral and non-qualifying central counterparty capital frameworks to uncleared derivatives, while any inability to comply must be formally reported in writing to the Registrar.
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