Regulatory Alerts2025-07-01
D8-2025 - Threshold Amounts for Revised Standardised and IRB Approaches to Credit Risk
The Prudential Authority has issued Directive D8-2025 to establish specific threshold amounts for classifying credit exposures and calculating capital requirements under South Africa’s revised Standardised and Internal Ratings-Based (IRB) frameworks. The directive sets clear monetary limits for retail, revolving, and corporate SME exposures while updating the Advanced IRB cut-off, asset value correlation factor, and effective maturity calculations for credit, liquidity (LCR/NSFR), and interest rate risk in the banking book. Banks, foreign branches, and controlling companies must apply these revised thresholds for regulatory reporting and capital calculations, effectively replacing prior directives from 2016 and 2023.
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