Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to BanksChapter II : Financial, Risk-based and other related Returns and Instructions, Directives and Interpretations relating to the completion thereof26. Liquidity riskDirectives, definitions and interpretations for completion of monthly return concerning liquidity risk (Form BA 300)Subregulation (11) Matters related to potential concentration of funding |
| (11) | Matters related to potential concentration of funding |
| (a) | Specified minimum requirements |
As a minimum, in order to identify potential sources of funding that are of such significance that the withdrawal thereof may cause liquidity problems, a bank shall duly manage and, when required, separately report the relevant required information related to significant counterparties, significant instruments or products, and significant currencies, provided that—
[Words preceding paragraph (i) substituted by section 7(c) of Notice No. 724, GG44003, dated 18 December 2020 - effective 1 January 2021]
| (i) | in the case of any significant counterparty the bank shall calculate its potential funding concentration through the application of the formula specified below, provided that in this regard, for both secured and unsecured funding from counterparties, the bank shall aggregate the respective amounts related to all relevant types of liabilities to a particular counterparty or group of connected, associated or affiliated counterparties, and all other relevant direct borrowings: |
Aggregate amount of funding liabilities sourced from each significant counterparty |
x 100 |
Total liabilities |
| (ii) | in the case of any significant instrument or product the bank shall calculate its potential funding concentration through the application of the formula specified below: |
Aggregate amount of funding liabilities sourced from each significant instrument or product |
x 100 |
Total liabilities |
| (iii) | in the case of any significant currency the bank shall calculate its potential funding concentration through the application of the formula specified below: |
Aggregate amount of funding liabilities sourced from each significant currency |
x 100 |
Total liabilities |
| (iv) | in all relevant cases, that is, in respect of significant counterparties, significant instruments or products, and significant currencies, the bank shall continuously monitor both the absolute percentage of the relevant specified funding exposures relative to the bank's total liabilities, as well as any significant increases in any potential funding concentration; |
| (v) | the relevant requirements specified in this subregulation (11) shall apply on a solo and consolidated basis; |
| (vi) | for purposes of this subregulation (11), |
| (A) | a significant counterparty— |
| (i) | means a single counterparty or group of connected, associated or affiliated counterparties representing in aggregate more than one per cent of the bank's total liabilities as reported in item 79 of the form BA 100; |
| (ii) | includes intra-group deposits and deposits from related persons, the relevant required information of which shall be reported separately from other relevant significant counterparties; |
| (B) | a group of connected, associated or affiliated counterparties means— |
| (i) | two or more persons, whether natural or juristic, that, unless proved to the contrary, constitute a single risk due to the fact that one of them has direct or indirect control over the other or others; or |
| (ii) | two or more persons, whether natural or juristic, between whom there is no relationship or control as referred to in item (i) above, but that are to be regarded as constituting a single risk, due to the fact that they are so interconnected that should one of them experience financial difficulties, the other or all of them would be likely to encounter financial difficulties; |
| (C) | a significant instrument or product means a single instrument or product or group of similar instruments or products that in aggregate amount to more than one per cent of the bank's total liabilities as reported in item 79 of the form BA 100, that is, the requirements for a significant type of instrument or product shall apply for each relevant individually significant funding instrument or product, as well as for groups of similar types of instruments or products; |
| (D) | a significant currency means the aggregate liabilities denominated in that currency amount to two per cent or more of the bank's total liabilities as reported in item 79 of the form BA 100, provided that in respect of funding denominated in foreign currency, the bank shall in addition to any relevant requirement specified in this subregulation (11) comply with the relevant requirements specified in subregulation (15) below; |
[Regulation 26(11) substituted by regulation 2(b) of Notice No. R. 309 dated 10 April 2015]