Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsSchedule ACredit Risk (Capital calculations for credit risk as set out in Regulation 26)Table 26(E): Volatility adjusted haircuts |
Schedule A
Credit Risk (Capital calculations for credit risk as set out in Regulation 26)
Table 26(E): Volatility adjusted haircuts
Issue rating in respect of debt securities |
Residual Maturity |
Volatility adjustments for debt securities issued by Sovereigns |
Volatility adjustments for debt securities issued by other institutions |
||
20-day liquidation period (%) |
5-day liquidation period (%) |
20-day liquidation period (%) |
5-day liquidation period (%) |
||
AAA to AA-/A-1 |
≤ 1 year |
0.707 |
0.354 |
1.414 |
0.707 |
> 1 year; ≤ 5 years |
2.828 |
1.414 |
5.657 |
2.828 |
|
> 5 years |
5.657 |
2.828 |
11.314 |
5.657 |
|
A+ to BBB-/ A-2/ A-3/ P-3 and unrated bank securities qualifying as eligible collateral in terms of the simple approach |
≤ 1 year |
1.414 |
0.707 |
2.828 |
1.414 |
> 1 year; ≤ 5 years |
4.243 |
2.121 |
8.485 |
4.243 |
|
> 5 years |
8.485 |
4.243 |
16.971 |
8.485 |
|
BB+ to BB- |
All |
21.213 |
10.607 |
||
Securities issued by the Central Government of the RSA or the South African Reserve Bank |
≤ 1 year |
1.414 |
0.707 |
2.828 |
1.414 |
> 1 year; ≤ 5 years |
4.243 |
2.121 |
8.485 |
4.243 |
|
> 5 years |
8.485 |
4.243 |
16.971 |
8.485 |
|