Featured Product

    APRA Proposes Changes to Guidance on Liquidity Risk Management

    July 14, 2021

    The Australian Prudential Regulation Authority (APRA) proposed revisions to APG 120, the prudential practice guide that aims to assist authorized deposit-taking institutions in the management of liquidity risk. APRA intends to revise the guidance for self-securitized assets to de-link it from the Committed Liquidity Facility (CLF). The comment period on this proposal ends on August 20, 2021, with APRA expecting to release an updated version of APG 210 in late 2021.

    As a response to the COVID-19 stress, in March 2020, APRA communicated to authorized deposit-taking institutions with existing self-securitized assets that it expected these assets to be temporarily increased to facilitate extraordinary liquidity support, if required. Self-securitized assets were subsequently used to support drawings under the Reserve Bank of Australia’s (RBA) Term Funding Facility and to support increases in CLF. APRA considers it is prudent for an institution to maintain contingent liquidity reserves for use, if required, at short notice. APRA recognizes self-securitized assets that are in excess of those used as collateral for the CLF as a form of contingent liquidity and notes the risk that these assets may not be increased in a timely manner in a future stress due to operational issues and/or insufficient eligible loans. Given this risk, APG 210 states that for an institution with a CLF with the RBA, APRA expects that  the level of the institution's self-securitized assets would be well in excess of that used as collateral for the CLF. While the CLF has decreased materially, APRA maintains its view that it is prudent for an institution to hold contingent liquidity reserves regardless of the size and presence of the CLF. Thus, based on the analysis and experience of the liquidity impact through the early stages of COVID-19, APRA deems it prudent for an institution to maintain surplus self-securitized assets amounting to at least 30% of the Liquidity Coverage Ratio (LCR) Net Cash Outflows. APRA would expect the self-securitized assets to be unencumbered and not held as collateral for any other purpose.


    Related Links

    Comment Due Date: August 20, 2021

    Keywords: Asia Pacific, Australia, Banking, APG 210, APS 210, Liquidity Risk, LCR, COVID-19, Self-Securitized Assets, Committed Liquidity Facility, APRA

    Featured Experts
    Related Articles

    EBA Proposes Standards for IRRBB Reporting Under Basel Framework

    The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023.

    January 31, 2023 WebPage Regulatory News

    FED Issues Further Details on Pilot Climate Scenario Analysis Exercise

    The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.

    January 17, 2023 WebPage Regulatory News

    US Agencies Issue Several Regulatory and Reporting Updates

    The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.

    January 04, 2023 WebPage Regulatory News

    ECB Issues Multiple Reports and Regulatory Updates for Banks

    The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.

    January 01, 2023 WebPage Regulatory News

    HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements

    The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.

    December 30, 2022 WebPage Regulatory News

    EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR

    The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.

    December 29, 2022 WebPage Regulatory News

    CBIRC Revises Measures on Corporate Governance Supervision

    The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.

    December 29, 2022 WebPage Regulatory News

    HKMA Publications Address Sustainability Issues in Financial Sector

    The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.

    December 23, 2022 WebPage Regulatory News

    EBA Updates Address Basel and NPL Requirements for Banks

    The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.

    December 22, 2022 WebPage Regulatory News

    ESMA Publishes 2022 ESEF XBRL Taxonomy and Conformance Suite

    The General Board of the European Systemic Risk Board (ESRB), at its December meeting, issued an updated risk assessment via the quarterly risk dashboard and held discussions on key policy priorities to address the systemic risks in the European Union.

    December 22, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8699