Operational Notice - South African Reserve Bank

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SA RESERVE BANK4.7 Delivery confirmation4.7.1 Detail of securities to be delivered in respect of auctions held at 12:00should be sent to the Financial Instrument Register (FIR) by fax or throughSWIFT, within one hour after the announcement of the results, using theform in Appendix III.4.7.2 In the case of a 15:00 auction, participants should fax (or send via SWIFT)detail of securities to the FIR (also using the form in Appendix III) not laterthan 16:00.4.7.3 Due to time constraints regarding square-off auctions held at around 08:05the next day, detail of securities to be delivered should be sent to the FIRby fax or via SWIFT before the closure of the final SAMOS window, usingeither the form in Appendix III or IV.4.7.4 Failure to accurately disclose and deliver the underlying securities willconstitute an event of default and can result in a penalty of up to R100 000and/or the cancellation of the transaction by the Reserve Bank.4.8 Emergency procedures4.8.1 If the aforementioned procedures cannot be followed for whatever reason,the Reserve Bank reserves the right to change the procedures as deemednecessary. The market would be informed accordingly on the relevant wireservices pages.5. Delivery and settlement of securities5.1 Delivery5.1.1 All banks that wish to make use of the repurchase facility are required toopen a FIR account at the Reserve Bank’s Settlement Division inJohannesburg.5.1.2 All securities to be used for repurchase transactions should either bephysically delivered to the Settlement Division (in the case of Land Bankbills) or transferred to the Reserve Bank’s safe custody accounts in theCentral Depository (in the case of bonds) or the FIR (in the case of Treasurybills and Reserve Bank debentures).5.1.3 Securities to be sold to the Reserve Bank following a 12:00 auction shouldbe available in the relevant accounts within one hour after theannouncement of the auction results.5.1.4 Securities to be sold to the Reserve Bank following a 15:00 auction shouldbe available in the relevant accounts before 16:00.5.1.5 Securities to be sold to the Reserve Bank following a final square-offauction should be available in the relevant accounts before the closure ofthe final SAMOS window.OPERATIONAL NOTICE9
SA RESERVE BANKThe delivered securities should correspond with those specified in Appendix III.5.2 Settlement5.2.1 Provided that sufficient collateral has been secured in the Central Depositoryor the FIR, the Reserve Bank and the participants will transfer the fundswithin one hour via the SAMOS System. Banks that do not participate in theSAMOS system must settle through their settlement banks.5.3 Repurchase of securities5.3.1 When a repurchase transaction matures, participants purchase securitiesfrom the Reserve Bank equivalent in value to those that it has sold to theReserve Bank in the first leg of the transaction. On or after receivingpayment (via SAMOS) the Reserve Bank delivers to the participantsecurities equivalent to those sold to it.6. Margin maintenance6.1 Repurchase transactions6.1.1 In order to provide for potential losses, the Reserve Bank uses twocalculations to cover risk. In addition to the “haircut” valuation explained inparagraph 4.4 the Reserve Bank also utilises margin calls to neutralisemark-to-market losses.6.1.2 Calculation of margin deficitThe Reserve Bank marks to market each bank’s repurchase portfolio daily.The market value of assets provided as collateral in all the outstandingrepurchase transactions of each participant is compared with therepurchase price of these transactions. The Reserve Bank calls for margin ifthe market value falls below the total repurchase price by an amount equalto or greater than R5 million. The Reserve Bank may change this call triggeramount at its discretion. Margin calls can be settled in securities or cash,which are taken into account in subsequent mark-to-market valuations.Example:Margin deficit when total market value < total repurchase pricePurchase price (repurchase tender allotment) R350 000 000Interest (at repurchase tender rate) + 142 000Total repurchase price (sell-back cash consideration)R350 142 000 (A)Value of bonds sold to the Bank R201 336 488Value of Treasury bills sold to the Bank + R143 424 081Total market valueR344 760 569 (B)Thus, margin deficit is:Total market value (B) R344 760 569Total repurchase price (sell-back price) (A) - R350 142 000Margin deficit (B) – (A) R 5 381 43110 OPERATIONAL NOTICE
Page 1 and 2: Operational NoticePertaining to ope
Page 3 and 4: SA RESERVE BANK1. Background1.1 Thi
Page 5 and 6: SA RESERVE BANK2.3 The marginal len
Page 7 and 8: SA RESERVE BANKAfrica. The issuing
Page 9: SA RESERVE BANKrepurchase auction,
Page 13 and 14: SA RESERVE BANK7. Legal and account
Page 15 and 16: EXAMPLES OF ANNOUNCEMENTS ON WIRE S
Page 17 and 18: Appendix IIIREPURCHASE TRANSACTION
Page 19 and 20: Appendix VContact Name: ___________
Page 21 and 22: Appendix VIISOUTH AFRICAN RESERVE B

Operational Notice - South African Reserve Bank

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