SARB Issues Update on IRRBB Reporting
The South African Reserve Bank (SARB) issued a directive that covers certain reporting requirements and instructions related to the completion of the form BA330, along with feedback received to the related consultation, which was published on December 12, 2022. SARB also published a statement that specifies the role of the Financial Sector Contingency Forum to enhance resilience of the financial system. The Forum is tasked with assisting authorities to identify and mitigate financial system risks. Such risks include the possibility of terror attacks, disruptive cyberattacks, pandemics such as COVID-19, and interruptions of physical infrastructure such as water, telecommunications, and electricity. The Forum will also conduct periodic crisis simulations exercises to test the ability of the financial sector to respond to such shocks. These simulation exercises are based on different scenarios.
The directive on form BA330 sets out the reporting requirements that amend Regulation 30 of the Regulations relating to banks, which related to the interest rate risk in the banking book (IRRBB) standards under the Basel framework. The amendments to Regulation 30 of the Regulations were gazetted on December 23, 2022 and came into effect from January 01, 2023. The Prudential Authority of SARB revised instructions for completing the Form BA 330, based on the feedback received to its recent consultation. The Directive states that a bank shall construct the relevant required repricing gap by classifying all relevant interest rate-sensitive assets and liabilities in time buckets according to their repricing characteristics or maturity dates. With regard to the consolidated reporting requirements, the Directive states that that Regulation 30 of the Regulations, as amended to incorporate the updated IRRBB standards, shall be applied by banks only on a solo basis until the IRRBB Public Disclosure requirements come into effect, from January 01, 2024, when Regulation 30 of the Regulations shall be applicable on both a solo and group consolidated basis. The Prudential Authority of SARB will assess capital requirements for IRRBB through the Pillar 2 process during the annual Internal Capital Adequacy Assessment Process (ICAAP).
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Keywords: Middle East and Africa, South Africa, Banking, Basel, Reporting, IRRBB, BA330, Systemic Risk, Cyber Risk, Financial Stability, SARB
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