Regulatory Alerts2015-04-10
Banks’ Compliance with Liquidity Coverage Ratio and High-Quality Liquid Assets Requirements
The South African Reserve Bank’s Office of the Registrar of Banks clarifies regulatory limits for banks’ High-Quality Liquid Assets (HQLA) portfolios by standardizing the calculation of Level 1, 2A, and 2B classifications, applicable haircuts, and short-term secured funding transactions within the 30-day stress period. The circular resolves existing uncertainty regarding the 15% and 40% regulatory caps by providing explicit mathematical formulas that dictate how adjusted HQLA stocks must be computed. These standardized calculation methods ensure consistent Liquidity Coverage Ratio compliance across all banks, foreign branches, and controlling companies under the revised Basel III framework.
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