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Pillar 3 disclosure
Pillar 3 disclosure
Having completed the first phase of its review of Pillar 3 disclosure requirements in January 2015, the Basel Committee is consulting (until 10 June) on the second phase.
Highlights
Access the Consultative Document: Pillar 3 disclosure requirements – consolidated and enhanced framework. (PDF 1.26 MB)
Enhancements
- A simple “dashboard” of key regulatory metrics to provide users of Pillar 3 data with an overview of a bank’s prudential position – capital, capital ratios and buffers (except Pillar 2), leverage ratio, LCR and NSFR.
- The Committee had already proposed that banks using internal models for credit risk should disclose their risk-weighted assets calculated under the standardized approach. It is now proposed to extend this to market risk, counterparty credit risk and the securitization framework (but not to operational risk, where the advanced measurement approach is being withdrawn).
- An additional breakdown of a bank’s aggregate prudent valuation adjustment.
- Disclosure requirements for the capital floor and for interest rate risk in the banking book (IRRBB) will be proposed once the policy on these is finalized.
New regulations
New disclosure requirements are proposed for total loss-absorbing capacity (TLAC) for global systemically important banks (G-SIBs). These include information on creditor rankings at the legal entity level for material subgroup entities that have issued internal TLAC. The Committee is still considering issues regarding G-SIBs with a multiple point of entry resolution strategy.
New templates will provide users with data on historical operational risk losses; the drivers of a bank’s operational risk charge under the new Standardized Measurement Approach; and information on a bank’s operational risk management framework.
An additional table to reflect the new market risk framework.
Consolidation
All the existing and proposed disclosure requirements have been consolidated. This involves only minor changes in format and frequency to existing disclosure requirements.
General
The existing and proposed Pillar 3 disclosure requirements amount to 67 templates, with the capital floor and IRRBB still to come.
Reporting frequencies vary between quarterly, semi-annual and annual. Banks may choose (or may be required by their supervisors) to disclose information more frequently.
Implementation dates are end-2016 or end-2017 where policy has already been implemented. Otherwise the disclosure implementation date is linked to the implementation of the policy framework (mostly 2019).
The assurance requirements remain unchanged from phase one, including the level of internal review and internal control processes, and the responsibilities of a bank’s Board and senior management.
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Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does KPMG International have any such authority to obligate or bind any member firm.
