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

Regulations

Financial Markets Act Regulations

Schedule A

Market Risk

Table 30(D): Duration method: time bands and assumed changes in yield

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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