The South African Reserve Bank (SARB) updated rules on the scope of application and matters related to the calculation and disclosure of the liquidity coverage ratio (LCR).
As part of this update, SARB issued a the Directive D1/2022, which replaces Directive 11 of 2014 and requires all banks, branches of foreign institutions, eligible institutions and auditors of banks or controlling companies to comply with LCR calculation and disclosure requirements. The Directive incorporates the LCR requirements from the Basel Committee on Banking Supervision (BCBS) into the amended Regulations. The objective is to ensure that every bank maintains an adequate stock of high-quality liquid assets (HQLA) to meet its liquidity needs for a 30 calendar-day liquidity stress scenario. The Directive states that to calculate the consolidated LCR, only banking and/or deposit-taking entities shall be included and branches shall be consolidated in accordance with the specified requirements. The Directive also states that consolidated LCR shall be calculated monthly to form the base of the public disclosure requirements and shall be made available to the Prudential Authority on request. It states that the LCR shall be reported according to the form BA 600 requirements and that banks should calculate a month-end position group calculation similar to what is currently required within the BA 600 quarterly reporting. Liquidity transfer restrictions in the calculation and disclosure of the relevant LCR should be considered while the LCR disclosures shall be made available to the public quarterly.
Related Link: Directive on LCR (PDF)
Keywords: Middle East And Africa, South Africa, Banking, LCR, Reporting, Basel, Disclosures, Liquidity Risk, ALM, BCBS, SARB
Scott is a Director in the Regulatory and Accounting Solutions team responsible for providing accounting expertise across solutions, products, and services offered by Moody’s Analytics in the US. He has over 15 years of experience leading auditing, consulting and accounting policy initiatives for financial institutions.
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