Regulatory Alerts2013-02-13
Interpretation and Application of Criteria Relating to Effective Maturity
The South African Reserve Bank’s Office of the Registrar of Banks clarifies the interpretation and application of effective maturity criteria under regulations 23(13)(d)(ii)(B) and 23(15)(f)(i) to resolve inconsistent capital calculations among banks. The circular mandates a one-year floor and five-year cap for all exposures exceeding one year, while specifying that the one-day floor applies only to transactions with daily remargining, revaluation, and prompt collateral liquidation. It further delineates the treatment of short-term self-liquidating letters of credit, collateralized capital market and repo transactions, master netting agreements, and counterparty credit risk calculations under both standardised and internal model approaches.