Featured Product

    SARB Publishes NSFR Rules and Proposal on Benchmark Reforms

    January 25, 2023

    The Prudential Authority of the South African Reserve Bank (SARB) issued a directive on the calculation of net stable funding ratio (NSFR) for banks while the Market Practitioners Group (MPG) proposed market conventions for derivative products that will use ZARONIA as an alternative reference rate to Jibar.

    SARB issued the Directive D1/2023 to inform banks about the calibration of the net stable funding ratio (NSFR) and the national discretion exercised in respect of specified items related to the NSFR. This Directive replaces Banks Act Directive 8/2017. NSFR should be calculated in accordance with Regulation 26(14)(d) of the Regulations relating to Banks by dividing the available amount of stable funding by the required amount of stable funding and multiplying it by one hundred. Funding with a residual maturity of less than one year received from non-financial corporate customers, sovereigns, and public-sector entities as well as funding from financial corporate customers with a residual maturity of between six months and one year shall be assigned an ASF factor of 50%. Moreover, an available stable funding (ASF) factor of 0% is assigned to funding with a residual maturity of less than six months from financial corporate customers. The Prudential Authority concluded, in 2017, that it would be appropriate to deviate from the international standard and to assign an ASF factor of 35% to secured and unsecured funding received in Rand (ZAR) from financial corporate customers, excluding banks, with a residual maturity of less than six months. This dispensation was only available for banks conducting business in South Africa. To be fully compliant with the NSFR framework, the Authority has decided to phase out the ASF factor to 30% from June 01, 2023 to December 31, 2023, 20% from January 01, 2024 to 31 December 31, 2024, 10% from January 01, 2025 to December 31, 2027, and 0% from January 01, 2023 onward.

    Additionally, SARB announced that The Market Practitioners Group (MPG) has published a paper that proposes market conventions for derivative products that will use the newly launched South African Rand Overnight Index Average (ZARONIA) as an alternative reference rate to the Johannesburg Interbank Average Rate (Jibar). The transition away from Jibar to an alternative reference rate will have a significant impact on the derivatives market. The gross notional exposure of financial contracts that reference Jibar was estimated to be approximately ZAR 27 trillion as at the end of 2021. Derivative instruments account for the largest portion of the exposure, totaling just under 90% of financial instruments traded in South Africa that reference Jibar. Thus, it is essential that market participants consider the recommendations contained in the white paper and provide their comments to ensure a smooth transition. The recommendations provide a framework for interest rate and cross currency swaps that will reference ZARONIA. Comments on this paper should be submitted by February 20, 2023.

     

    Related Links


    Keywords: Middle East and Africa, South Africa, Banking, Basel, Benchmark Reforms, NSFR, Liquidity Risk, Interest Rate Risk, ZARONIA, Jibar, Derivatives, SARB

    Featured Experts
    Related Articles
    News

    BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks

    The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.

    March 13, 2023 WebPage Regulatory News
    News

    OSFI Finalizes on Climate Risk Guideline, Issues Other Updates

    The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.

    March 12, 2023 WebPage Regulatory News
    News

    BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending

    BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.

    March 03, 2023 WebPage Regulatory News
    News

    HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks

    The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.

    March 02, 2023 WebPage Regulatory News
    News

    BCBS Report Examines Impact of Basel III Framework for Banks

    The Basel Committee on Banking Supervision (BCBS) published results of the Basel III monitoring exercise based on the June 30, 2022 data.

    February 28, 2023 WebPage Regulatory News
    News

    PRA Consults on Prudential Rules for "Simpler-Regime" Firms

    Among the recent regulatory updates from UK authorities, a key development is the first-phase consultation, from the Prudential Regulation Authority (PRA), on simplifications to the prudential framework that would apply to the simpler-regime firms.

    February 28, 2023 WebPage Regulatory News
    News

    DNB Publishes Multiple Reporting Updates for Banks

    DNB, the central bank of Netherlands, updated the list of additional reporting requests and published additional data quality checks and XBRL-Formula linkbase documents for the first quarter of 2023.

    February 28, 2023 WebPage Regulatory News
    News

    NBB Sets Out Climate Risk Expectations, Issues Reporting Updates

    The National Bank of Belgium (NBB) published a communication on climate-related and environmental risks, issued an update on XBRL reporting

    February 24, 2023 WebPage Regulatory News
    News

    EBA Updates Address Securitization Standards and DGS Guidelines

    The European Banking Authority (EBA) published the final draft of the regulatory technical standards that set out conditions for assessment of homogeneity of the underlying exposures in simple, transparent, and standardized (STS) securitizations.

    February 21, 2023 WebPage Regulatory News
    News

    FSB Publishes Letter to G20, Sets Out Work Priorities for 2023

    The Financial Stability Board (FSB) published a letter intended for the G20 Finance Ministers and Central Bank Governors, highlighting the work that FSB will take forward under the Indian G20 Presidency in 2023

    February 20, 2023 WebPage Regulatory News
    RESULTS 1 - 10 OF 8793