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April 23, 2018

APRA published the final prudential and reporting standards related to counterparty credit risk for authorized deposit-taking institutions. These standards include APS 112, APS 180, ARS 112.2, ARS 118.1, and ARS 180.0. The standards will commence on July 01, 2019. APRA also released a response to the submissions received on the discussion paper on counterparty credit risk for authorized deposit-taking institutions.

The issued prudential standards are as follows:

  • Prudential Standard APS 112 Capital Adequacy: Standardized Approach to Credit Risk
  • Prudential Standard APS 180 Capital Adequacy: Counterparty Credit Risk
  • Reporting Standard ARS 112.2 Standardized Credit Risk: Off-balance Sheet Exposures (including Reporting Form ARF 112.2A)
  • Reporting Standard ARS 118.1 Other Off-balance Sheet Exposures (including ARF 118.1)
  • Reporting Standard ARS 180.0 Counterparty Credit Risk (including Reporting Forms ARF 180.1, ARF 180.2, and ARF 226)

APRA had launched the second consultation, in August 2017, regarding a series of revisions to the standardized approach for measuring counterparty credit risk exposures (SA-CCR) for authorized deposit-taking institutions. The first consultation was launched in 2016. APRA had received seven submissions on the 2017 consultation paper. Submissions did not raise issues with APRA’s proposed adoption of the adjusted current exposure method (CEM); therefore, APRA will adopt this simplified approach for the authorized deposit-taking institutions with immaterial counterparty credit risk, which will be the approach for the majority of authorized deposit-taking institutions. Otherwise, the issues raised were of a general nature, with some covering technical aspects of the proposals. Attachment A to the response letter covers the material issues raised in those submissions and some matters of clarification. Attachment B includes the number of other changes to the final standards made by APRA, including incorporating additional material from frequently asked questions published by BCBS.

Related Links

Effective Date: July 01, 2019

Keywords: Asia Pacific, Australia, Banking, CCR, SA-CCR, Capital Adequacy, Reporting, ARF 226, ARF 180, ARF 112.2A, ARF 118.1, APRA

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