Basel 3.1 - Bitesize
In this series of short bitesize articles, our Prudential Regulation Consulting team delves into the implications of Basel 3.1 changes on banks.
Disclosures and Regulatory reporting
As a result, they will fall into one of the following categories:
The firm’s classification influences the frequency in which it must submit disclosures. These disclosures will be made on an annual, semi-annual, or quarterly basis. Reporting Template ChangesThe PRA proposes modifications to 12 existing COREP templates and three Capital+ templates. They also intend to introduce a further 19 new COREP templates. The PRA is making these changes with the intention of reducing the risk of inadequate capital reporting. Credit risk templates have been amended to reflect the new conversion factors and the new granularity of increased risk weights in the proposed standard approach requirements. Three operational risk templates have been disbanded. The PRA is introducing a new template which reflects the revisions made to the calculation of operation risk. This template will cover: the PRA approval cover sheet, minimum required capital report, breakdown of business indicator components to be reported as per IFRS or national GAAP definitions and historical losses and internal loss multiplier (ILM). The PRA has proposed seven new market risk templates. This is inclusive of general interest rate risk, credit spread risk for non-securitisations, credit spread risk for securitisation included in the alternative correlation trading portfolio, credit spread risk for securitisation not included in the alternative correlation trading portfolio, equity risk, commodity risk, foreign exchange risk. Here the focus is on moving towards a greater degree of granularity in identifying risk through disclosures and increasing transparency for firms’ investors. Under market risk, there will be new templates for default risk capital risk capital requirement, advanced standardised approach (ASA) residual risk add-on, equity investment in funds and authorisations. |
What banks should consider:
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If you have any further questions regarding Basel 3.1, please contact us via the button below and a member of our team will be in touch.
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