Regulatory Alerts2023-09-29
Threshold Amounts for the Revised Standardised and IRB Credit Risk Approaches and Liquidity Framework
The Prudential Authority of South Africa issues Directive D8/2023 to specify threshold amounts for classifying credit exposures and calculating capital requirements under the revised Standardised and Internal Ratings-Based approaches. The directive establishes precise rand-denominated limits for retail, corporate SME, and wholesale funding classifications, while adjusting parameters for the liquidity coverage ratio, net stable funding ratio, and interest rate risk in the banking book. Banks, foreign branches, and controlling companies must apply these thresholds in accordance with the finalised Regulations and Guidance 3 of 2023, effectively replacing Directive 1 of 2016.
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