Regulatory Alerts2014-12-15
Transitional arrangements related to capital requirements for over-the-counter derivatives that are not transacted through a central counterparty
The South African Reserve Bank's Office of the Registrar of Banks issued Directive 10/2014 to establish transitional capital relief for banks holding over-the-counter derivatives not cleared through a central counterparty. The directive mandates that banks calculate zero percent capital requirements for Credit Valuation Adjustment risk on South African rand-denominated and locally bilateral trades during the period from 1 January 2015 to 31 December 2015. This exemption applies specifically to the CVA risk component while leaving all other capital requirements under the Regulations relating to Banks unaffected.
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