The Australian Prudential Regulation Authority has released amendments to the Basel II framework. The amendments include higher capital requirements to capture the credit risk of complex trading activities and the introduction of a stressed value-at-risk requirement; higher risk-weights for so-called “resecuritization” exposures to better reflect the risk inherent in these products, and increased credit conversion factors for short-term liquidity facilities provided to off-balance sheet conduits; and requirements in relation to valuation practices and the capture of off-balance sheet and securitization activities.
Click here to read the release from the Australian Prudential Regulation Authority.