Pillar 3 disclosure requirements - Bank for International Settlements

reforms to the regulatory policy framework. The Committee recognises the importance of ensuring that the disclosure requirements in the Pillar 3 framework ...
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A final version of this report was published in March 2017. http://www.bis.org/bcbs/publ/d400.htm

Basel Committee on Banking Supervision

Consultative Document Pillar 3 disclosure requirements – consolidated and enhanced framework Issued for comment by 10 June 2016 March 2016

A final version of this report was published in March 2017. http://www.bis.org/bcbs/publ/d400.htm

This publication is available on the BIS website (www.bis.org).

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Bank for International Settlements 2016. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.

ISBN 978-92-9197-483-2 (print) ISBN 978-92-9197-484-9 (online)

A final version of this report was published in March 2017. http://www.bis.org/bcbs/publ/d400.htm

Contents Pillar 3 disclosure requirements – consolidated and enhanced framework .............................................................. 1 Introduction ......................................................................................................................................................................................... 1 Part 1: Proposals for revised and new disclosure requirements ..................................................................................... 3 1.

Enhancements to the revised Pillar 3 framework ............................................................................................... 3

2.

Further revisions and additions to the Pillar 3 framework arising from ongoing reforms to the regulatory policy framework ...................................................................................................................................... 4

3.

Consolidation of all existing and prospective BCBS disclosure requirements into the Pillar 3 framework .......................................................................................................................................................................... 7

4.

General considerations ............................................................................................................................................... 11

5.

Presentation of the disclosure requirements ..................................................................................................... 12

6.

List of format and frequency of each disclosure requirement .................................................................... 14

Part 2: Overview of risk management, key prudential metrics and RWA ................................................................. 17 Part 3: Linkages between financial statements and regulatory exposures .............................................................. 28 Part 4: Composition of capital .................................................................................................................................................... 31 Part 5: Macroprudential supervisory measures ................................................................................................................... 56 Part 6: Leverage ratio ..................................................................................................................................................................... 60 Part 7: Liquidity ................................................................................................................................................................................ 65 Part 8: Credit risk (See January 2015 Revised Pillar 3 disclosure requirements) .................................................... 74 Part 9: Counterparty credit risk (See January 2015 Revised Pillar 3 disclosure requirements) ......................... 74 Part 10: Securitisation (See January 2015 Revised Pillar 3 disclosure requirements) ........................................... 74 Part 11: Market risk ................