Regulatory Alerts2013-08-02
Mapping of Fitch and Moody's International Scale Ratings to Prescribed Risk Weights Under Regulation 23
The South African Reserve Bank’s Registrar of Banks issued Directive 12/2013 to standardize how banks calculate minimum capital and reserve funds by mapping Fitch and Moody’s international scale ratings to prescribed risk weights under Regulation 23. The directive provides comprehensive mapping tables for long-term and short-term credit assessments, securitisation exposures, resecuritisation, and credit derivative instruments under both the Standardised Approach and ratings-based frameworks. All regulated institutions must apply these standardized mappings when determining risk weights for credit exposures, with the Registrar monitoring and revising the tables as necessary.
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