Regulatory Alerts2008-09-01
Directive 7/2008: Mapping of Fitch and Moody's Ratings to Prescribed Risk Weights
The South African Reserve Bank issued Directive 7/2008 to mandate the mapping of international scale ratings from Fitch Ratings and Moody’s Investors Service to the risk weights prescribed in Regulation 23 of the Regulations relating to Banks. This directive requires all banks and controlling companies to apply these specific mappings when calculating minimum required capital and reserve funds for credit risk under the standardized approach. The document provides detailed tables for long-term and short-term credit assessments, securitisation exposures, and credit derivative instruments to ensure consistent regulatory compliance.
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