Financial Markets Act, 2012 (Act No. 19 of 2012)

Regulations

Financial Markets Act Regulations

Chapter VI : Central Counterparties

40.11 Time horizons used when performing tests
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(1)The time horizons used for stress tests must be defined in accordance with Regulation 40.5 and must include forward-looking extreme but plausible market conditions.

 

(2)The historical time horizons used for back tests must include data from at minimum the most recent year or as long as a central counterparty has been clearing the relevant financial instrument if that is less than a year.