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    APRA Consults on Revisions to the Counterparty Credit Risk Framework

    August 03, 2017

    APRA published a discussion paper that sets out its response to the submissions on APRA’s September 2016 discussion paper on counterparty credit risk CCR for authorized deposit-taking institutions and a number of revised proposals for further consultation. It also revised drafts of Prudential Standard APS 112 Capital Adequacy: Standardized Approach to Credit Risk (APS 112) and Prudential Standard APS 180 Capital Adequacy: Counterparty Credit Risk (APS 180), which incorporate changes to APRA’s proposed new CCR requirements for authorized deposit-taking institutions. With regard to reporting-related revisions, APRA released three draft reporting standards (ARS 112.2, ARS 118.1, and ARS 180.0.) that set out proposed revisions to the corresponding reporting requirements as well as proposed reporting requirements on margining for non-centrally cleared derivatives. APRA has also released a letter to authorized deposit-taking institutions regarding minor amendments to APS 112, which APRA consulted on in September 2016. APRA invites written submissions on its proposals by September 29, 2017.

    APRA proposed finalizing these amendments at the same time as the CCR requirements. Collectively, the package sets out APRA’s proposed implementation of the Basel Committee on Banking Supervision’s standardized approach for measuring counterparty credit risk exposures (SA-CCR) and capital requirements for bank exposures to central counterparties. APRA proposes that an authorized deposit-taking institution with approval to use an internal ratings-based approach to credit risk must use the SA-CCR to measure its CCR exposures, while all other authorized deposit-taking institutions may continue to use the Current Exposure Method, subject to appropriate recalibration. The discussion paper also provides clarification on a range of other matters raised in earlier submissions. The new prudential and reporting requirements for CCR will take effect no earlier than January 01, 2019.

     

    Related Links

    CCR Revisions and Related Documents

    Proposed Minor Amendments to APS 112

     

    Comment Due Date: September 29, 2017

    Effective Date: January 01, 2019

    Keywords: Asia Pacific, Australia, Banking, CCR, SA CCR, Capital Adequacy, Credit Risk, APRA

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