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

Regulations

Financial Markets Act Regulations

Schedule A

Market Risk

Table 30(B): Maturity method: time bands and weights 1,2

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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.