Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsSchedule AMarket RiskTable 30(D): Duration method: time bands and assumed changes in yield |
Schedule A
Market Risk
Table 30(D): Duration method: time bands and assumed changes in yield
Time zone |
Duration |
Assumed change in yield |
1 |
0 ≤ 1 month |
1,00 |
> 1 ≤ 3 months |
1,00 |
|
> 3 ≤ 6 months |
1,00 |
|
> 6 ≤ 12 months |
1,00 |
|
2 |
> 1,0 ≤ 1,9 years |
0,90 |
> 1,9 ≤ 2,8 years |
0,80 |
|
> 2,8 ≤ 3,6 years |
0,75 |
|
3 |
> 3,6 ≤ 4,3 years |
0,75 |
> 4,3 ≤ 5,7 years |
0,70 |
|
> 5,7 ≤ 7,3 years |
0,65 |
|
> 7,3 ≤ 9,3 years |
0,60 |
|
> 9,3 ≤ 10,6 years |
0,60 |
|
> 10,6 ≤ 12,0 years |
0,60 |
|
> 12,0 ≤ 20,0 years |
0,60 |
|
> 20 years |
0,60 |