Granular reporting drafted for derivative portfolio margin models
South African financial authorities have released a draft Joint Notice establishing granular regulatory reporting returns for OTC derivative providers that calculate margin via quantitative models. The Prudential Authority and FSCA invite public feedback until October 12, 2026.
Targeted oversight for internal margin models
The Prudential Authority (PA) and the Financial Sector Conduct Authority (FSCA) released a draft Joint Notice determining dedicated reporting returns for over-the-counter derivative providers (ODPs).
The proposed requirements apply specifically to market participants approved to compute initial margin using a Quantitative Portfolio Margin Model (QPMM) under Joint Standard 2 of 2020.
Regulators stated that counterparties transacting with an ODP are exempt from submitting these specific quantitative returns.
Jointly signed by FSCA Commissioner Unathi Kamlana and PA Chief Executive Officer Fundi Tshazibana, the consultation document invites stakeholders to submit feedback before the October 12, 2026 deadline.
Closing the granularity gap
South African authorities previously issued Joint Communication 2 of 2023 to establish the application framework for quantitative portfolio models and model-based haircut methods.
While Joint Notice 2 of 2024 introduced mandatory derivative reporting effective April 1, 2025, the resulting data lacked sufficient granularity for supervisory analysis of internal model risks.
The drafted template isolates complex portfolio exposures without placing duplicate compliance burdens on standard counterparties.
Proportionate oversight for complex models
Exempting counterparties prevents unnecessary reporting drag while giving supervisors clear sight of advanced model risks.
Focusing solely on approved quantitative model users ensures proportionate regulatory burden across the derivatives market.
This approach strengthens oversight without stifling non-cleared trading liquidity.
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