Regulatory Alerts2023-02-23
Directive D2/2023: Instructions for Completing Form BA 330 and IRRBB Reporting Requirements
The South African Reserve Bank issued Directive D2/2023 to standardize form BA 330 completion and implement amended Regulation 30 requirements for interest rate risk in the banking book. The directive provides detailed column and line-item instructions for classifying rate-sensitive assets and liabilities, calculating static and behavioural repricing gaps, and assessing economic value of equity alongside net interest income under parallel rate shocks. Effective from January 2023, banks must apply these reporting standards on a solo basis until January 2024, aligning credit impairment treatments with stage 3 exposures and defining foreign currency reporting thresholds.
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