Regulatory Alerts2011-03-09
Use of Mapping Tables by Banks, Controlling Companies and Foreign Branches for Converting National to International Credit Risk Ratings
The South African Reserve Bank permits banks, controlling companies, and foreign branches to utilize eligible external credit assessment institutions' mapping tables for converting national scale ratings into international scale ratings when calculating minimum required capital and reserve funds for credit risk. Where no direct international rating exists, institutions must verify consistent ECAI methodologies and apply the most conservative mapped rating if a range is indicated, with this provision covering exposures originated before March 2011. This regulatory clarification enhances credit risk differentiation and capital calculation granularity while maintaining prudential standards for securitisation exposures.
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