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Amendment to Draft Prudential Standards APS 116 and APS 120 and Draft Prudential Practice Guide APG 116 - December 2009

In accordance with the measures released in July 2009 by the Basel Committee on Banking Supervision, the proposed APS 116, APG 116, and APS 120 released by APRA for consultation on 21 December 2009 have now been amended as follows.
  • The proposed APS 116 Attachment C paragraph 3 and APG 116 paragraph 30 have been amended to apply the plus factor (based on VaR back testing analysis) to both the VaR and stressed VaR. The amendment is only relevant to institutions approved to use the internal model approach to determine regulatory capital for market risk.
  • The proposed APS 120 Attachment D paragraph 30 has been amended to set a floor risk weight under the supervisory formula of 20 per cent for resecuritisation exposures. This is to maintain consistency between the use of the ratings-based approach and the supervisory formula, and will only be relevant to ADIs using the internal ratings-based approach to determine regulatory capital for credit risk.