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