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.

Senior Advisor, EMA Regulatory Centre of Excellence

KPMG in the UK

Contact

Related content

Calculator

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risk and the securitization framework (but not to operational risk, where the advanced measurement approach is being withdrawn).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.

Governance and supervision

The articles on this page provide insights on how organizations can develop a holistic approach to manage the evolving regulatory environment.

 
Read more

Connect with us

 

Request for proposal

 

Submit

KPMG's new digital platform

KPMG International has created a state of the art digital platform that enhances your experience, optimized to discover new and related content.