Directives and interpretations for completion of monthly return concerning minimum reserve balance and liquid assets (Form BA 310) |
| (1) | The content of the relevant return is confidential and not available for inspection by the public. |
| (2) | A bank shall comply with the provisions of any Notice issued by the Governor of the Reserve Bank under section 10A of the South African Reserve Bank Act, 1989 (Act No. 90 of 1989), regarding the determination of the minimum reserve balance to be held with the Reserve Bank, and the provisions of regulations 8(1) and 8(2) regarding the calculation of the average daily amount of Reserve Bank notes and subsidiary coin and level one high-quality liquid assets held during the reporting month. |
(3) Minimum level one high-quality liquid assets
| (a) | For the purposes of complying with the provisions of section 72(1) of the Act, a bank shall during the period prescribed in subregulation (5) hold an average daily amount of level one high-quality liquid assets that shall not be less than an amount equal to 5 per cent of its liabilities as reduced as reported in item 4 column 2 of the latest monthly form BA 310 furnished to the Registrar in terms of the provisions of section 75(1)(a) of the Act, provided that— |
| (i) | the minimum amount of level one high-quality liquid assets held by a bank at the close of business on any day during the period prescribed in subregulation (5) shall not be less than an amount equal to 75 per cent of the average daily amount of level one high-quality liquid assets required to be held by the bank in terms of the provisions of this subregulation (3); |
| (ii) | the minimum amount of level one high-quality liquid assets held by the bank at any time during the day shall not be less than an amount equal to 50 per cent of the average daily amount of level one high-quality liquid assets required to be held by the bank in terms of the provisions of this subregulation (3); |
| (iii) | at least 95 per cent of level one high-quality liquid assets required to be held by the bank in terms of the provisions of this subregulation (3) at the close of business on any day during the period prescribed in subregulation (5) shall be level one high-quality liquid assets owned outright by the said bank, that is, at least 95 per cent of level one high–quality liquid assets required to be held by the bank shall be level one high-quality liquid assets not subject to further commitment; and |
| (b) | no instruments acquired in terms of a securities lending transaction shall qualify as level one high-quality liquid assets. |
| (4) | The Registrar, in consultation with the Governor of the Reserve Bank, may amend the provisions of subregulation (3)(a) in respect of a particular bank or the banking sector as a whole should such provisions adversely affect the risk profile of the particular bank or the banking sector as a whole. |
| (5) | Period of maintenace of prescribed minimum reserve balance and liquid assets |
A bank shall maintain the minimum required amounts of prescribed minimum reserve balance and level one high-quality liquid assets during the period from the fifteenth business day of the month following the month or calendar quarter to which a particular return relates up to and including the fourteenth business day of the month following the month or calendar quarter in respect of which the next monthly or quarterly return, as the case may be, is to be furnished by the reporting bank.
| (6) | Available unencumbered assets, including matters related to assets pledged or otherwise encumbered |
| (a) | Unless an exemption has been granted by the Registrar in terms of the proviso to section 72(3) of the Act, only assets not pledged or otherwise encumbered at the close of business on any day during the period prescribed in subregulation (5) shall qualify as level one high-quality liquid assets. |
| (b) | Securities lodged with the Reserve Bank to secure facilities shall not be regarded as pledged except to the extent that such securities are required to secure facilities actually utilised at the close of business on any day. |
| (c) | [Regulation 27(6)(c) deleted by regulation 4 of Notice No. R. 309 dated 10 April 2015] |
Provided that—
| (i) | the bank shall separately report any collateral received that the bank is permitted to deliver or re-pledge, as well as the part of such collateral that is so delivered or re-pledged by the bank at each relevant reporting date; |
| (ii) | as part of or in addition to the aforesaid information, |
| (A) | the bank shall categorise the relevant assets according to significant currency, for which purposes a currency shall be regarded as significant when the aggregate stock of available unencumbered collateral denominated in that currency amounts to five per cent or more of the relevant total amount of unencumbered collateral available for secondary markets and/or relevant central banks; |
| (B) | the bank shall report to the Registrar the haircut or estimated haircut that the secondary market and/or relevant central bank would require for each relevant asset, provided that in the case of a relevant central bank haircut, the bank shall report the haircut required by the relevant central bank for matching funding under normal circumstances, that is, for example, the Reserve Bank for rand-denominated funding under normal circumstances, the European Central Bank for euro-denominated funding under normal circumstances, and the Bank of Japan for yen funding under normal circumstances; |
| (C) | the bank shall, instead of the relevant notional amounts, report to the Registrar the expected monetised value of the relevant collateral; |
| (D) | the bank shall report to the Registrar the location where the respective assets are actually held, and the business units or lines that have access to those assets. |
(7) Assets acquired in terms of a resale agreement
An asset acquired by a bank in terms of a resale agreement and which asset is a level one high-quality liquid asset as defined in section 1 of the Act shall for the purposes of section 72(1) of the Act rank as a level one high-quality liquid asset of the said bank having acquired the said asset in terms of the resale agreement, instead of the bank that sold the asset in terms of the repurchase agreement, provided that the asset has not been disposed of under a further repurchase agreement and has not been encumbered or lodged as security by the said bank.
| (8) | Valuation of securities that qualify as level one high-quality liquid assets |
A bank shall value level one high-quality liquid assets held at the close of business on any day during the period prescribed in subregulation (5) for the purposes of complying with the provisions of section 72(1) of the Act based on the daily market yields published by the Reserve Bank on Reuters page SARB 20 and/or such other page as may be specified by the Reserve Bank from time to time for accommodation collateral purposes.
| (9) | A bank shall complete the form BA 310 in accordance with such instructions or requirements as may be determined or directed in writing by the Authority. |
[Regulation 27(9) substituted by section 22 of Notice 5802, GG52013, dated 31 January 2025, shall come into operation on 1 February 2025]