Banks Act, 1990 (Act No. 94 of 1990)

Regulations

Regulations relating to Banks

Chapter II : Financial, Risk-based and other related Returns and Instructions, Directives and Interpretations relating to the completion thereof

26. Liquidity risk

Directives, definitions and interpretations for completion of monthly return concerning liquidity risk (Form BA 300)

Subregulation (12) Matters related to the calculation of a bank's liquidity coverage ratio (LCR)

Subregulation (12)(c) Matters related to the calculation of a bank's relevant amount of net cash outflow
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(c)Matters related to the calculation of a bank's relevant amount of net cash outflow

 

Based on the relevant requirements specified in this subregulation (12), a bank shall continuously calculate its expected total net cash outflows for the subsequent 30 calendar day period as the difference between total expected cash outflows and total expected cash inflows as envisaged and specified in these Regulations, provided that—

(i)the bank's relevant calculation shall be based on a specified stress scenario applied for the subsequent 30 calendar days, in terms of which—
(A)the bank's total expected cash outflows shall be equal to the outstanding balances of specified categories or types of liabilities and off-balance-sheet commitments, multiplied by the relevant run-off or drawn-down rates specified in this paragraph (c) or in paragraph (d) below; and
(B)the bank's total expected cash inflows shall be equal to the outstanding balances of specified categories of contractual receivables, multiplied by the specified rates at which the said receivables are expected to flow in under the said stress scenario, provided that the bank's total expected cash inflows shall be limited to seventy five per cent of the bank's total expected cash outflows, that is:

 

Total net cash outflows over the next 30 calendar days =

Total expected cash outflows - min{total expected cash inflows; 75% of total expected cash outflows}

 

(ii)when the bank calculates its LCR, the bank shall not double count any relevant item, that is, when the bank, for example, includes a high-quality liquid asset in the numerator, any cash inflow associated with that asset cannot be included as part of the denominator, that is, as part of cash inflows;
(iii)when an item may be counted in multiple outflow categories, such as a committed liquidity facility granted to cover debt maturing within the 30 calendar day period, the bank only has to assume up to the maximum contractual outflow for that product.

 

[Regulation  26(12)(c) substituted by regulation (2)(c) of Notice No. R. 309 dated 10 April 2015]