One month left to shape APRA's implementation of Basel III
OTC derivatives capital requirements
Participants in the Australian over-the-counter
(OTC) derivatives market only have one month to
make comments on the Australian Prudential Regulation
Authority's (APRA) Discussion Paper on its
proposed implementation of the recently announced
Basel III capital rules relating to derivatives.
Concurrently with the Discussion Paper, APRA released for public
consultation
draft revised prudential and reporting standards that will
implement its proposals.
Background to the Basel III capital rules relating to
derivatives
The Basel III reforms include adjustments to the existing rules
for capitalising bank exposures to counterparty credit risk in
respect of OTC derivatives, repo and securities financing
transactions, and the introduction of a new capital charge for
potential mark-to-market losses associated with a deterioration in
counterparty creditworthiness.
