Statistics Act, 1999
R 385
Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsSchedule AMarket RiskTable 30(B): Maturity method: time bands and weights 1,2 |
Schedule A
Market Risk
Table 30(A)Table 30(B): Maturity method: time bands and weights 1,2
|
Time zone |
Coupon equal to or more than 3% |
Coupon less than 3% 3 |
Risk weight (%) |
Assumed change in yield |
|
Maturity band |
||||
|
1 |
0 ≤ 1 month |
0 ≤ 1 month |
0.00 |
1.00 |
|
> 1 ≤ 3 months |
> 1 ≤ 3 months |
0.20 |
1.00 |
|
|
> 3 ≤ 6 months |
> 3 ≤ 6 months |
0.40 |
1.00 |
|
|
> 6 ≤ 12 months |
> 6 ≤ 12 months |
0.70 |
1.00 |
|
|
2 |
> 1 ≤ 2 years |
> 1.0 ≤ 1.9 years |
1.25 |
0.90 |
|
> 2 ≤ 3 years |
> 1.9 ≤ 2.8 years |
1.75 |
0.80 |
|
|
> 3 ≤ 4 years |
> 2.8 ≤ 3.6 years |
2.25 |
0.75 |
|
|
3 |
> 4 ≤ 5 years |
> 3.6 ≤ 4.3 years |
2.75 |
0.75 |
|
> 5 ≤ 7 years |
> 4.3 ≤ 5.7 years |
3.25 |
0.70 |
|
|
> 7 ≤ 10 years |
> 5.7 ≤ 7.3 years |
3.75 |
0.65 |
|
|
> 10 ≤ 15 years |
> 7.3 ≤ 9.3 years |
4.50 |
0.60 |
|
|
> 15 ≤ 20 years |
> 9.3 ≤ 10.6 years |
5.25 |
0.60 |
|
|
> 20 years |
> 10.6 ≤ 12.0 years |
6.00 |
0.60 |
|
|
> 12.0 ≤ 20.0 years |
8.00 |
0.60 |
||
|
> 20 years |
12.50 |
0.60 |
||
| 1. | Based on the residual term to maturity the central counterparty must assign to the relevant time band the relevant position arising from any fixed rate instrument. |
| 2. | Based on the residual term to the next repricing date the central counterparty must assign to the relevant time band the relevant position arising from any floating-rate instrument. |
| 3. | Including any zero-coupon bond or deep-discount bond. |
