Regulatory Alerts2024-03-06
D1/2024 Directive on Pillar 3 Disclosure Requirements for Interest Rate Risk in the Banking Book
The Prudential Authority directs South African banks, controlling companies, and foreign branches to disclose specific qualitative and quantitative information on interest rate risk in the banking book (IRRBB) under Pillar 3. Institutions must report data using prescribed templates on a behavioural basis, aligning with Basel Committee standards and applying to financial years ending on or after 1 January 2024. These disclosures must be included in annual financial statements, shared with external auditors, and returned via a signed acknowledgement to ensure compliance and enhance market discipline.
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