operations
14 May 2007
The South African Reserve Bank (SARB) will broaden the list of securities
which qualify as eligible collateral in its refinancing operations, with effect
from 23 May 2007. The following assets will be accepted as eligible
collateral:
Category 1 (existing):
* Government bonds (rand denominated)
* Land Bank bills
* Separate Trading of Registered Interest and Principal of Securities
(STRIPS)
* South African Reserve Bank debentures
* Treasury bills
The securities listed above also qualify as statutory liquid assets in terms
of the Banksâ Act (Act No. 94 of 1990). The decision to broaden the list of
eligible collateral does not impact on the existing list of securities which
qualify as statutory liquid assets.
Category 2 (New category):
Bond Code Issuer Maturity
DV07 Development Bank of Southern Africa 2010-09-30
ES09 Eskom Holdings Limited 2009-06-01
E170 Eskom Holdings Limited 2020-08-01
ES33 Eskom Holdings Limited 2033-09-15
SZ25 SA National Roads Agency 2025-09-30
T011 Transnet Limited 2010-04-01
WS03 Trans-Caledon Tunnel Authority 2010-09-15
WS04 Trans-Caledon Tunnel Authority 2016-05-30
The valuation rates for the assets accepted as eligible collateral will be
released on the SARB wire services: Bloomberg; Reuters <SARB20>; and the
Internet. The SARB will apply the following haircut ratios when the eligible
assets are valued:
Categories 1
Maturities (years)
* 0-1 (1.010)
* 1-10 (1.025)
* More than 10 (1.035)
Category 2
Maturities (years)
* 0-1 (1.015)
* 1-10 (1.030)
* More than 10 (1.040)
The broadening of the list of eligible collateral is the result of a
consultation process that commenced in 2004 when the SARB embarked on a series
of discussions with its major counterparties in its refinancing operations. The
objective was to obtain the views of all interested parties on how the
refinancing procedures and related issues could be improved. A consultation
paper was circulated and later shaped into an implementation paper by taking
into account the comments and inputs of the Money Market Liaison Group. A
number of changes to the refinancing system were subsequently implemented on 25
May 2005.
The SARBâs planned broadening of the list of eligible collateral, however,
was not part of the changes announced on 25 May 2005, as more consultation was
needed to deal with the various administrative, statutory and systems
issues.
The calculation of the haircut ratios on Category 2 assets will initially be
conducted on a manual basis until the Money Market Internet System and other
relevant internal electronic systems are updated to cater for the changes.
For more details on the past and current changes to the SARB refinancing
system, please refer to the Operational Notice available on the SARB website
under Financial Markets/Market Operations.
Enquiries:
Mr Tom Khosa
Tel: 012 313 4950
Fax: 012 313 4278
Mr Jackie Brevis
Tel: 012 313 4952
Fax: 012 313 4278
Issued by: South African Reserve Bank
14 May 2007
Source: South African Reserve Bank (http://www.reservebank.co.za)
