Regulatory Alerts2016-02-10
C2/2016: Matters of Interpretation Relating to the Liquidity Coverage Ratio
The South African Reserve Bank’s Office of the Registrar of Banks issued Circular 2/2016 to resolve interpretive uncertainties surrounding the Liquidity Coverage Ratio (LCR) minimum liquidity requirement. The circular clarifies that banks may allocate up to five percent of their domestic LCR requirement to foreign-currency high-quality liquid assets, permits net foreign inflows up to seventy-five percent of outflows for consolidated calculations, and allows daily reporting forms to differ immaterially from monthly submissions. Additionally, it restricts cross-jurisdictional HQLA aggregation to one hundred percent of the minimum LCR requirement (seventy percent for 2016) and temporarily excludes the net stable funding ratio from regulatory audits until a final reporting directive is published.