SARB guides CCPs on liquidity risk return completion
The South African Reserve Bank's Prudential Authority has issued Guidance Notice 2 of 2026, assisting Central Counterparties (CCPs) in completing their monthly liquidity risk returns. The notice provides detailed instructions for accurate and timely submission.
Precision in reporting standards
The South African Reserve Bank's Prudential Authority (PA) has issued Guidance Notice 2 of 2026 to assist Central Counterparties (CCPs) in accurately completing their monthly liquidity risk returns.
These returns serve as a critical cash-flow forecast spanning the next 12 months, segmented into various time buckets, from 'next day' to 'more than 6 months to 12 months'.
CCPs are required to follow the same sign-off process as for quarterly returns, with endorsement by the risk owner, such as the CEO or CRO.
The PA maintains strict submission standards, rejecting returns with incomplete CCP names, incorrect rounding to R'000 (rand thousands), missing data, incorrect or blank reporting dates, or negative values, except for bank and overdraft balances.
Submissions are due on the seventh working day of each month via the Umoja Portal.
Line items and funding sources clarified
The guidance details instructions for completing various line items across business-as-usual and stress worksheets.
It specifies categories for cash inflows, such as fees, intercompany charges, tax receivables, and investment income.
Outflows cover operational expenses, employee costs, tax payments, dividends, shareholder repayments, and capital expenditure.
For the CCP stress worksheet, reporting includes liquidity needs, available liquid resources, and variation margin components.
The notice also clarifies reporting of funding sources, which comprise bank balances, money market instruments, government securities, committed liquidity facilities, and shareholder funding.
Regulatory capital is excluded from available liquidity resources.
Clarity for compliance
This guidance is crucial for standardizing liquidity risk reporting across Central Counterparties, ensuring data consistency and accuracy.
By clearly outlining submission requirements, the Prudential Authority enhances oversight and strengthens financial stability.
For CCPs, this means a clearer path to compliance, reducing rejection risk and fostering robust risk management.