SARB is seeking public comments on a statement on methodology and policies governing the interest rate benchmarks that are administered by SARB. The statement describes technical specifications for the suite of interest rate benchmarks that are administered by SARB and provides an overview of the policies that govern these benchmarks. This suite comprises four new benchmarks and a reformed version of South African Benchmark Overnight Rate (SABOR), which is the existing overnight benchmark rate. SARB will embark on a data collection process to enable testing of the proposed benchmarks and their subsequent refinement. All stakeholders are invited to provide comments by September 19, 2020.
The statement details the methodologies and policies that will be applied for the following suggested benchmarks:
- South African Rand Interbank Overnight Rate (ZARIBOR)
- South African Secured Overnight Financing Rate (ZASFR)
- South African Rand Overnight Index Average (ZARONIA)
- Term Wholesale Financial Corporate Fixed Deposit Benchmark Rate
- Term Wholesale Non-financial Corporate Fixed Deposit Benchmark Rate
The benchmark proposed as a replacement for SABOR is ZARONIA, which is an unsecured overnight rate. While the number of proposed interest rate benchmarks is not definitive, the ultimate outcome of reform will likely feature the coexistence of several interest rate benchmarks to fulfill different market and policy purposes. Additionally, SARB is the official administrator of the Johannesburg Interbank Average Rate (JIBAR). However, the policies specified in the statement do not apply to JIBAR, given an existing JIBAR Code of Conduct, Governance Process, and Operating Rules. In addition, efforts are underway to strengthen the JIBAR and add to its credibility as an interim solution, until an alternative reference rate is fully operational. Details of the work being undertaken in this regard will be published later this year.
The suite of benchmarks stipulated above is based on confidential statistical information on daily money market transactions, in accordance with the reporting instructions specified by SARB. The reporting instructions include standards for transmission and accuracy of data. Reporting institutions are expected to comply with the reporting instructions determined by SARB. Additionally, SARB may conduct an ad hoc audit of the controls implemented by reporting institutions to assess their adequacy in ensuring that the data supplied to the SARB on a daily basis comply with the specified standards. Reporting institutions that are non-compliant will be required to implement corrective measures. However, an infringement procedure may be initiated against a reporting institution that repeatedly fails to adhere to the reporting standards.
Comment Due Date: September 19, 2020
Keywords: Middle East and Africa, South Africa, Banking, Securities, Interest Rate Benchmarks, Governance, IBOR Reform, ZARIBOR, ZASFR, ZARONIA, SABOR, SARB
Previous ArticleLEI ROC Statement on GLEIF Certification of LEI Mapping Service
BCBS is consulting on the principles for operational resilience and the revisions to the principles for sound management of operational risk for banks.
The Financial Stability Institute (FSI) of BIS published a brief note that examines the supervisory challenges associated with certain temporary regulatory relief measures introduced by BCBS and prudential authorities in response to the COVID-19 pandemic.
HKMA, together with the Banking Sector Small and Medium-Size Enterprise (SME) Lending Coordination Mechanism, announced a ninety-day repayment deferment for trade facilities under the Pre-approved Principal Payment Holiday Scheme.
The Advisory Scientific Committee of ESRB published a response, in the form of an Insights Paper, to the EBA proposals for reforms to the stress testing framework in EU.
MAS announced several initiatives to support adoption of the Singapore Overnight Rate Average (SORA), which is administered by MAS.
BoE updated the reporting template for Form ER as well as the Form ER definitions, which contain guidance on the methodology to be used in calculating annualized interest rates.
PRA published the policy statement PS19/20 on the final policy for extending coverage under the Financial Services Compensation Scheme (FSCS) for Temporary High Balance.
EBA published the final draft implementing technical standards for disclosures and reporting on the minimum requirements for own funds and eligible liabilities (MREL) and the total loss-absorbing capacity (TLAC) requirements in EU.
EBA published an erratum for the phase 2 of technical package on the reporting framework 2.10.
EC published the Implementing Regulation 2020/1145, which lays down technical information for calculation of technical provisions and basic own funds.