Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsChapter VI : Central Counterparties33. Margin requirements33.4 Time horizon for the calculation of historical volatility |
A central counterparty—
| (a) | must assure that according to its model methodology and its validation process established in accordance with these Regulations, initial margins cover— |
| (i) | the confidence interval defined in Regulation 33.3; |
| (ii) | the liquidation period defined in Regulation 33.5; and |
| (iii) | the exposures resulting from historical volatility calculated based on data covering at least the latest 12 months; |
| (b) | must ensure that the data used for calculating historical volatility capture a full range of market conditions, including periods of stress; |
| (c) | may use any other time horizon for the calculation of historical volatility, provided that the use of such time horizon results in margin requirements at least as high as those obtained with the time period defined in paragraph (a); |
| (d) | must base its margin parameters for securities without a historical observation period on conservative assumptions; and |
| (e) | must promptly adapt the calculation of the required margins based on the analysis of the price history of the new securities. |