BANKING SECTOR CREDIT & LIQUIDITY RISK FRAMEWORK: DRAFT DIRECTIVE OUT FOR COMMENT

BANKING SECTOR CREDIT & LIQUIDITY RISK FRAMEWORK: DRAFT DIRECTIVE OUT FOR COMMENT

• 13 March 2023
• Financial Sector
• SA Legal Academy

Input is sought by 3 May 2023 on a draft directive dealing with ‘threshold amounts related to the revised standardised and internal ratings-based approaches for credit risk and the liquidity risk framework’. According to the Prudential Authority notice concerned, once in force the new directive will replace one issued in April 216.

Against that backdrop, the Authority’s proposals deal with:

• the ‘classification of credit exposures in the retail asset class’
• the ‘classification of credit exposures in the retail revolving asset class’
• ‘firm-size adjustment for corporate SME exposures’
• the ‘classification of credit exposures in the corporate SME asset class’
• the ‘advanced internal rating-based corporate modelling cut-off’
• the ‘asset value correlation factor’
• ‘effective maturity’ calculation
• ‘securitisation scheme(s) with early amortisation features’
• the ‘classification of funding for calculating the liquidity coverage ratio and net stable funding ratio’, and
• ‘the classification of assets and liabilities in the interest rate risk in the banking book framework’.

The Prudential Authority notice provides more details.

• notice 

Published by SA Legal Academy Policy Watch

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