Basel II update

APRA Basel II specialist, Katrina Squires has given an update on outstanding issues following Basel II implementataion in Australia on 1 January 2008.

These include:

• APRA’s review of ADIs' own internal capital adequacy assessment process (ICAAP);
• the inclusion in the internal ratings-based approach to credit risk (IRB) prudential standard (APS 113) of the Basel II Framework’s proposals that would permit ADIs’ own counterparty credit risk estimates;
• review the 20 per cent risk-weight currently assigned to margin lending exposures;
• reviewing applications for internal models for interest rate risk in the banking book