The South African Reserve Bank (SARB) proposed a directive on threshold amounts used in the classification of credit exposures with respect to the revised standardized and internal ratings-based (IRB) approaches for credit risk. The comment period for this proposal ends on May 03, 2023. The proposed directive is intended to specify the appropriate threshold amounts to be used by banks, controlling companies, and branches of foreign institutions (collectively referred to as banks) when implementing the various requirements of the revised standardized approach and the internal ratings-based approach for credit risk. These threshold amounts also impact the classification of assets and liabilities in the liquidity risk and interest rate risk in the banking book (IRRBB) frameworks. Upon finalization, the proposed directive is expected to replace Directive 1 dated April 12, 2016.
Keywords: Middle East and Africa, South Africa, Banking, Basel, Credit Risk, IRRBB, IRB Approach, Standardized Approach, Liquidity Risk, Interest Rate Risk, Reporting, Regulatory Capital, SARB
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