Basel Committee on Banking Supervision Standards

1 Basel Committee on Banking Supervision Standards Pillar 3 disclosure requirements consolidated and enhanced framework March 2017 This publication is available on the BIS website ( ). Bank for International Settlements 2017. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9259-043-7 (online) Pillar 3 disclosure requirements consolidated and enhanced framework iii Contents Pillar 3 disclosure requirements consolidated and enhanced framework.

2 1 Introduction .. 1 Part 1: New and revised Pillar 3 disclosure requirements .. 3 1. Consolidation of all existing and prospective BCBS disclosure requirements into the Pillar 3 framework .. 3 2. Two enhancements to the revised Pillar 3 framework .. 7 3. Revisions and additions to the Pillar 3 framework arising from ongoing reforms to the regulatory policy framework .. 8 4. General considerations and presentation .. 11 5. Third phase of the review of Pillar 3 .. 11 6. Schedule setting out the format and frequency of each disclosure requirement .. 12 Part 2: Overview of risk management, key prudential metrics and RWA.

3 17 Part 3: Linkages between financial statements and regulatory exposures .. 26 Part 4: Composition of capital and TLAC .. 29 Part 5: Macroprudential supervisory measures .. 47 Part 6: Leverage ratio .. 51 Part 7: Liquidity .. 56 Part 8: Credit risk (See January 2015 Revised Pillar 3 disclosure requirements ) .. 65 Part 9: Counterparty credit risk (See January 2015 Revised Pillar 3 disclosure requirements ) .. 65 Part 10: Securitisation (See January 2015 Revised Pillar 3 disclosure requirements ) .. 65 Part 11: Market risk .. 66 Part 12: Interest rate risk in the Banking book.

4 73 Part 13: Remuneration .. 75 Pillar 3 disclosure requirements consolidated and enhanced framework 1 Pillar 3 disclosure requirements consolidated and enhanced framework Introduction Following completion of the first phase of its review of the Pillar 3 framework, t he Basel Committee on Banking Supervision (BCBS, the Committee ) issued revised Pillar 3 disclosure requirements in January 2015 ( January 2015 standard ).1 These requirements superseded the Pillar 3 disclosure requirements issued in 2004 (as amended in July 2009). The Committee subsequently issued a consultative document on the second phase of its review of Pillar 3 in March 2016 ( March 2016 CD ).

5 2 The comment period for the consultation ended in June 2016. This standard sets out the disclosure requirements arising from the second phase of the review and reflects comments received from respondents in the consultation The disclosure requirements in this standard cover three elements: 1. Consolidation of all existing BCBS disclosure requirements into the Pillar 3 framework These disclosure requirements cover the composition of capital, the leverage ratio, the Liquidity Coverage Ratio (LCR), the Net Stable Funding Ratio (NSFR), the indicators for determining globally systemically important banks (G-SIBs), the countercyclical capital buffer, interest rate risk in the Banking book and remuneration.

6 2. Two enhancements to the Pillar 3 framework This standard introduces a dashboard of a bank s key prudential metrics which will provide users of Pillar 3 data with an overview of a bank s prudential position, and a new disclosure requirement for those banks which record prudent valuation adjustments (PVAs) to provide users with a granular breakdown of how a bank s PVAs are calculated. 3. Revisions and additions to the Pillar 3 standard arising from ongoing reforms to the regulatory policy framework This standard includes new disclosure requirements in respect of the total loss-absorbing capacity (TLAC) regime for G-SIBs issued in November 2015,4 and revised disclosure requirements for market risk arising from the revised market risk framework published by the Committee in January This standard does not include disclosure requirements arising from the Committee s ongoing finalisation of the Basel III reforms.

7 As discussed in Section , disclosure requirements agreed by the Committee following the issuance of this standard will be included within the scope of the third phase of the review of the Pillar 3 framework. 1 BCBS, Revised Pillar 3 disclosure requirements , January 2015, 2 BCBS, Pillar 3 disclosure requirements consolidated and revised framework, March 2016, 3 The Committee has agreed to defer issuing new disclosure requirements related to operational risk; see Section 4 Financial Stability Board, Principles on loss-absorbing and recapitalisation capacity of G-SIBs in resolution: total loss-absorbing capacity term sheet, November 2015, See also the TLAC holdings standard issued by the Committee in October 2016, which applies to both G-SIBs and non-G-SIBs ( ).

8 5 BCBS, Minimum capital requirements for market risk, January 2016, 2 Pillar 3 disclosure requirements consolidated and enhanced framework Part 1 of this standard provides further background to the disclosure requirements that are being introduced, including the changes that have been made to the disclosure requirements in response to the consultation process. Parts 2 to 14 set out the detailed disclosure requirements of the standard. Pillar 3 disclosure requirements consolidated and enhanced framework 3 Part 1: New and revised Pillar 3 disclosure requirements 1.

9 Consolidation of all existing and prospective BCBS disclosure requirements into the Pillar 3 framework In the second phase of its review of the Pillar 3 framework, the Committee has reviewed the disclosure requirements in all existing Basel Standards and consolidated them into the Pillar 3 framework. Following this review, and in line with the proposals set out in the March 2016 CD, this standard consolidates the disclosure requirements issued in the following documents6 into the Pillar 3 framework: Composition of capital disclosure requirements (June 2012) Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement (July 2013) Basel III.

10 A global regulatory framework for more resilient banks and Banking systems revised version (June 2011) section dealing with the geographical distribution of credit exposures subject to the countercyclical buffer Basel III leverage ratio framework and disclosure requirements (January 2014) Liquidity Coverage Ratio disclosure Standards (January 2014) Net Stable Funding Ratio disclosure Standards (June 2015) Interest rate risk in the Banking book (April 2016) Pillar 3 disclosure requirements for remuneration (July 2011) This standard does not make any fundamental changes to the disclosure requirements in the above documents, but changes have been made to the format and frequency of some of the disclosure requirements to align them with the January 2015 standard.