Guidance Notice 2 of 2026: Liquidity Risk Return Completion Instructions

P O Box 427 Pretoria 0001 South Africa
370 Helen Joseph Street Pretoria 0002
+27 12 313 3911 / 0861 12 7272 www.resbank.co.za Financial Sector Regulation Act, 2017 Guidance Notice 2 of 2026 Guidance on liquidity risk return instructions for completion Objectives of this Guidance Notice This Guidance Notice is issued in terms of section 141 of the Financial Sector Regulation Act, 2017(Act No.9 of 2017) and is aimed at assisting Central Counterparties to complete the monthly liquidity risk return.

1. Introduction
   1.1. Central Counterparties (CCP) are expected to follow the same sign-off process as
   the quarterly return, and it should be signed off by the risk owner, e.g. CEO/CRO.
   1.2. CCP are advised that the Prudential Authority (PA) will not accept returns if:

• the name of the CCP is incomplete;
• the amounts are not correctly rounded to R’000 (rand thousands);
• the return is incomplete;
• the return has incorrect or blank reporting dates; or
• the return has negative values. Negative values are not allowed on the return,
  except for bank and overdraft balances.
  1.3. CCP are also advised to submit the returns by the due date as prescribed, meaning
  the seventh working day on a monthly basis.
  1.4. The return is available on the South African Reserve Bank website and must be
  completed and submitted via the Umoja Portal.
  1.5. A copy of the return is attached hereto as Annexure A.

2. Background
   2.1. The liquidity risk return is in the form of a cash-flow forecast for the next 12 months
   divided into different time buckets (i.e. next day, day 2, day 3, day 4 to day 7, day 8 to 1 month, more than 1 month to 2 months, more than 2 months to 6 months, and more than 6 months to 12 months), taking into account the committed funding sources at the market infrastructure’s disposal. The CCP stress tab has a time horizon that extends to seven days.

3. Guidance
   3.1. Instructions relating to the completion of the return are furnished with reference to
   certain item descriptions and line items appearing on the liquidity risk return, as follows:
   Line items (BAU and stress worksheet):

4. Fee income
   This line item reflects the aggregate amount of all types of fees received by the CCP (e.g. transaction fees, listing fees, issuer fees, information service fees, corporate action fees and settlement fees), based on the receipt date.

5. Due from Group entities
   This line item reflects the aggregate amount of intercompany charges recouped from Group companies and loans received/receivable from Group companies, based on the receipt date.

6. Tax received
   This line reflects the aggregate amount of tax receivable from the relevant tax authority (e.g. value-added tax (VAT), income tax, dividend withholding tax and securities tax), based on the receipt date.

7. Trade and other receivables
   This line item reflects the aggregate amount for sundry debtors (excluding the fees and any other items specified under the inflows categories), based on the receipt date.

8. Interest received
   This line item reflects the aggregate amount of interest receivable from financial institutions or loans granted, based on the receipt date.

9. Dividends received
   This line item reflects the aggregate amount of dividends receivable, based on the receipt date.

10. Other sources of cash inflows
    This line item reflects the aggregate amount of other inflows receivable (excluding all funding sources), based on the receipt date.

11. Trade and other payables
    This line item reflects the aggregate cash operating expenses (excluding salaries), based on the payment date.

12. Salaries/wages
    This line item reflects the aggregate employee costs, based on the payment date.

13. Tax paid
    This line item reflects the aggregate amount of tax payable to the relevant tax authority (e.g. VAT, income tax, dividend withholding tax and securities tax), based on the payment date.

14. Dividends paid
    This line item reflects the aggregate amount for dividends payable by the market infrastructure, based on the payment date.

15. Shareholder outflows
    This line item reflects the aggregate amount of funding repayments to shareholders (excluding dividends payable), based on the payment date.

16. Interest paid
    This line item reflects the aggregate amount of interest payable to financial institutions or on loans received, based on the payment date.

17. Capital expenditure
    This line item reflects the aggregate amount of capital expenditure payable, based on the payment date.

18. Other sources of cash outflows
    This line item reflects the aggregate amount of other outflows not described elsewhere on the return (including financing repayable to external parties), based on the payment date. Line items: CCP stress worksheet:

19. Liquidity needs
    This line item reflects the aggregate amount of the liquidity required by the market infrastructure, based on the date at which the liquidity resources are required.

20. Available liquid resources
    This line item reflects the aggregate amount of the liquidity facilities that are available to be utilised by the market infrastructure, based on the timing of the availability of the facilities.

21. Total variation margin profits due to the market
    This line item reflects the aggregate variation margin profits due to the market, based on the payment date.

22. Variation margin gains haircut
    This line item reflects the aggregate variation margin gains haircut, based on the dates on which the haircut will be applied.

23. Variation margin gains haircut percentage
    This line item reflects the aggregate variation margin gains haircut percentage, based on the dates on which the haircut will be applied.

24. Variation margin obligation defaulted on by a clearing member
    This line item reflects the aggregate amount of variation margin that a clearing member has defaulted on, based on the time brackets of the default.

25. Liquidity facility replenishment
    This line item reflects the total amount of liquidity facility replenishment, calculated based on when the replenishments occur.

3.2. Description: Funding sources
Market infrastructures are expected to report all available funding sources as follows:
3.2.1. Bank balances, including central bank balances, excluding amounts held for
minimum regulatory capital purposes
This section reflects the aggregate funds in bank accounts, by CCP, and held at the Reserve Bank, based on the availability date (i.e. the current account would be available ‘next day’, and 30-day fixed deposits would be available in 8 days to 1 month).
3.2.2. Money market instruments and government securities
This section reflects the aggregate amount in money market instruments, by issuer, and the market value of government securities, based on the availability or maturity date.
3.2.3 Committed liquidity facility
This section reflects the aggregate amounts committed as liquidity facilities by financial institutions, based on the availability date. The PA may require proof of the said committed facility.
3.2.4. Committed shareholder funding (equity/loans)
This section reflects the aggregate amount of funding committed by shareholders, based on the availability date. The PA may require proof of the said committed facility.
3.2.5. Default fund
This section reflects the aggregate amount held in accordance with section 35 of the Regulations of the Financial Markets Act, 2012, based on the availability date.
3.2.6. Other types of funding not indicated above
This section reflects the aggregate amount of any other available funding not mentioned above, based on the availability date. Funding sources should not include regulatory capital amounts, as these are not available for liquidity risk management.

4. Communication
   Should any CCP require further engagement and/or additional information regarding the completion of the liquidity risk return and/or this Guidance Notice, they can direct all correspondence to the Asset and Liability Management Division at RSD-ALM@resbank.co.za, copying in the relevant frontline division of the PA (where applicable). Fundi Tshazibana Chief Executive Officer Date:
   Enclosed: 1