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

Regulations

Financial Markets Act Regulations

Schedule A

Credit Risk (Capital calculations for credit risk as set out in Regulation 26)

Table 26(F): Volatility adjusted haircuts for currency mismatches
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Schedule A

 

Counterparty Credit Risk (as set out in Regulation 27)

 

Table 27(A)

 

20-day liquidation period (%)

5-day liquidation period (%)

11.314

5.657