Regulatory AlertsAPS 180 Capital Adequacy: Counterparty Credit Risk
The Australian Prudential Regulation Authority issued Prudential Standard APS 180 to require authorised deposit-taking institutions to maintain adequate capital for counterparty credit risk exposures arising from derivatives, securities financing, and long settlement transactions. The standard mandates that institutions calculate exposure amounts using either the Standardised Approach for Counterparty Credit Risk or the Adjusted Current Exposure Method and apply appropriate risk weights to determine regulatory capital requirements. Additionally, the document establishes specific risk management practices and capital charges for credit valuation adjustments and default fund contributions to qualifying central counterparties.
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