Regulatory Alerts2014-12-15
Added · Updated
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.
More like this from SARB
SARB published 1 document in the last 30 days. We email you each new one the day it's published.