CP16/22 – Implementation of the Basel 3.1 standards: Disclosure (Pillar 3)

Overview

11.1 This chapter sets out the Prudential Regulation Authority’s (PRA) proposals to update its Pillar 3 disclosure requirements to reflect its proposals to update the framework for calculating Pillar 1 risk-weighted assets (RWAs) that are set out in this CP. The proposals set out in this chapter align the Pillar 3 disclosures of UK firms to the revised Basel disclosure standards.^{footnote [1]}

11.2 The proposals in this chapter would amend the Disclosure (CRR) Part of the PRA Rulebook.

11.3 The PRA proposes to modify, and in some instances delete, existing disclosure templates, as well as introduce new disclosure templates, to align disclosure requirements with the Basel 3.1 standards, and reflect the proposals set out elsewhere in this CP for the following risk areas:

• Credit risk:
  • Chapter 3 – Credit risk – standardised approach;
  • Chapter 4 – Credit risk – internal ratings based approach; and
  • Chapter 5 – Credit risk mitigation.
• Market risk (Chapter 6 – Market risk);
• Credit valuation adjustment (CVA) risk and counterparty credit risk (CCR) (Chapter 7 – Credit valuation adjustment and counterparty credit risk);
• Operational risk (Chapter 8 – Operational risk);
• Output floor (Chapter 9 – Output floor); and
• Capital and risk management summaries.

11.4 The PRA considers it important that the UK continues to align with international disclosure standards, in the form set out in the Basel 3.1 standards. This would help ensure that UK firms demonstrate the same level of transparency as their peers in other jurisdictions. The PRA considers that accurate and comprehensive disclosure on compliance with Pillar 1 requirements, and on the risk profiles of UK firms, would support international competitiveness and facilitate the exercise of market discipline on firms.

11.5 The PRA considers that the existing disclosure templates do not provide appropriate information on the PRA’s proposed implementation of the Basel 3.1 standards in relation to the above risk areas. In order for firms to continue to disclose relevant information on Pillar 1 RWAs, certain existing disclosure templates would have to either be revised, or in some cases replaced, with entirely new templates to reflect the proposals set out in this CP. The PRA proposes to adopt the Basel 3.1 disclosure templates, without material deviations to the content or format.

11.6 The PRA proposes to continue to apply the existing proportionality approach set out in the Disclosure (CRR) Part of the PRA Rulebook whereby the frequency of disclosure is varied according to a firm’s size category and listing status. The PRA proposes that large and listed firms disclose at the minimum frequency prescribed in the Basel 3.1 standards. All other firms would disclose the proposed templates at a frequency no greater than the existing minimum frequency of their Pillar 3 report. The proposed frequencies are set out in the sections that follow. The PRA considers that the proposed frequencies of the disclosure templates set out in this chapter reflect the different level of risks posed by firms of differing size and complexity to the financial system. The PRA considers that firms that would pose the greatest risk to financial stability should meet the disclosure frequency under the Basel 3.1 standards, and that those less likely to pose such risks should not be subject to the same disclosure obligations. The PRA considers that this is a proportionate approach to implementing the Basel 3.1 standards on disclosure.

11.7 The table below summarises the disclosure proposals by risk area, including the disclosure templates the PRA proposes to delete, the proposed new templates, and the existing templates that the PRA proposes to modify for firms in scope of the proposals in this CP. Where existing disclosure templates are proposed to be modified, a separate version of these templates would be disclosed by firms in scope of the proposals in this CP. The proposed new, as well as modified existing, disclosure templates in this chapter would be titled with the proposed prefix of ‘UKB’ to distinguish from the existing equivalent disclosure templates that Transitional Capital Regime (TCR) firms would continue to disclose.

Summary of proposed disclosure changes

11.8 The proposals in this chapter are applicable to firms within the proposed scope of application for the Basel 3.1 standards, set out in Chapter 2 – Scope and levels of application. Firms that would be subject to the Transitional Capital Regime would not be required to implement the proposals in this chapter, and could continue to report the existing requirements set out in the Disclosure (CRR) Part of the PRA Rulebook ahead of the finalisation of that regime.

Credit risk

11.9 Chapters 3 to 5 set out the PRA’s proposed changes to credit risk RWA calculation requirements, and Chapter 12 – Reporting presents the corresponding proposals for regulatory reporting. The proposed changes to Pillar 3 disclosures reflect the revisions outlined in these chapters.

11.10 To help to ensure that firms continue to disclose relevant information, the PRA proposes to update nine existing disclosure templates for credit risk as follows.

Standardised approach (SA)

11.11 The PRA proposes to make the following amendments to the existing SA disclosure templates to broadly align the disclosures with the templates under the Basel 3.1 standards but with UK-specific modifications to reflect the PRA’s proposed implementation of the SA:

Qualitative

• UKB CRD template:
  • The PRA proposes to update the instructions to refer to the Commission Implementing Regulation (EU) 2016/1799 of 7 October 2016. This is not a change under the Basel 3.1 standards but has been included to update referencing to the correct technical standards for the mapping of credit ratings.

Quantitative

• UKB CR4 template:
  • The PRA proposes modifications to add the new ‘specialised lending’ exposure sub-class, and the more granular real estate exposure sub-classes introduced by the PRA’s proposals. This aligns with the Basel 3.1 standards, with the UK-specific implementation proposals incorporated into the template.
• UKB CR5 template:
  • The PRA proposes to amend this template to include additional risk weights introduced under the PRA’s proposals as well as the new ‘specialised lending’ exposure sub-class, and the more granular real estate exposure sub-classes.
  • The PRA proposes to introduce a further table, that aligns with the Basel 3.1 standards, that would require firms to disclose: (i) their on-balance sheet exposures; (ii) their off-balance sheet exposures before the application of conversion factors (CFs); (iii) the corresponding weighted average CF applied to the off balance sheet exposures; and (iv) the on- and off-balance sheet exposures after the application of CFs and CRM, all broken down by risk weight bucket.

Internal ratings based (IRB) approach

Qualitative

11.12 The PRA proposes to make the following amendments to broadly align the existing IRB disclosure templates with the templates under the Basel 3.1 standards:

• UKB CRE template:
  • The PRA proposes to modify this template with the addition of a single new row that would require firms to disclose a description of progress on transitioning equity exposures from IRB to SA.

Quantitative

• UKB CR6 template:
  • The PRA proposes to modify this template by editing a single column that would remove reference to support factors. Firms would no longer disclose risk weighted exposure amounts net of support factors.
• UK CR6-A template:
  • The PRA proposes to modify this template by:
    • deleting the exposure class rows for central governments and central banks and for equity;
    • editing the exposure row labels for institutions, corporates, and retail to reflect the new class groupings; and
    • adding in new rows for the new IRB exposure sub-classes.
• UKB CR7 template:
  • The PRA proposes to modify this template by deleting, amending, and adding rows to reflect the new exposure sub-classes as per the changes made in template UK CR6-A.
• UKB CR7-A template:
  • The PRA proposes to modify this template by deleting, amending, and adding rows to reflect the new exposure sub-classes as per the changes made in template UK CR6-A.
• UKB CR10 template:
  • The PRA proposes to modify this template by amending the labelling of the slotting categories and changes to the risk-sensitivity of the slotting approach.
  • The PRA proposes to delete the equity exposure table entirely as the IRB approach would no longer be applicable for equity exposures.
  • The PRA proposes that firms disclose exposures to income-producing real estate and high volatility commercial real estate in separate tables.

11.13 The PRA proposes to retain the existing disclosure frequencies of these templates as it applies to firm size and listing status.

Market risk

11.14 Chapter 6 sets out the PRA’s proposed implementation of the Basel 3.1 standards for market risk and Chapter 12 presents the corresponding proposals for regulatory reporting. The Pillar 3 disclosures proposed in this chapter reflect the proposals outlined in these chapters, including the recalibrated version of the existing standardised approach (SSA), the introduction of the new alternative standardised approach (ASA), and the new internal model approach (IMA).

11.15 To help ensure that firms continue to disclose relevant information with respect to the corresponding approaches used for calculating market risk capital requirements, the PRA proposes to introduce five new market risk disclosure templates and delete seven existing disclosure templates. The proposed new templates, which are described below, would align the firms’ market risk disclosures with the Basel 3.1 standards.

Qualitative

• UKB MRA template:
  • The PRA proposes that all firms would be required to disclose a qualitative narrative around their strategies and processes for managing and monitoring market risk. This would include reference to any relevant policies and controls, and details of how market risk positions of instruments are assigned to the trading book or banking book, alongside the identification of any changes in allocation between reporting periods.
  • The PRA proposes that firms disclose details on their market risk management function, including the organisational structure and supporting governance. Firms would also need to disclose the scope and nature of their market risk reporting and/or measurement systems.
  • Firms categorised as ‘large’ and ‘other’ under the CRR, both listed and non-listed, would need to disclose this template on an annual frequency.
• UKB MRB template:
  • The PRA proposes that firms using the IMA would be required to disclose qualitative information on the structure of trading desks subject to IMA approval, as well as the types of instruments traded by these desks.
  • The PRA proposes that firms disclose descriptions of the specific models used, including the expected shortfall (ES) model, models used for calculating stress scenario risk measure (SSR) for non-modellable risk factors (NMRFs), and default risk capital charge (DRC-IMA) models. Firms would be required to provide details of the trading desks covered by these models, a description of the models themselves including their parameterisation, and how firms have met internal capital adequacy assessments for these models.
  • Firms would also be required to disclose the approaches used to validate the models employed, and to outline any assumptions and benchmarks relied upon.
  • Firms categorised as ‘large’ and ‘other’ under the CRR, both listed and non-listed, would need to disclose this template on an annual frequency.

Quantitative

• UKB MR1 template:
  • The PRA proposes that all firms applying the ASA to their market risk exposures disclose this template, which would provide details on the capital requirements for the following ASA components, as well as the overall ASA capital requirement:
    • the sensitivities-based method for the specific risk class calculated for the ASA;
    • default risk for the specific risk class calculated for the ASA; and
    • the residual risk add-on calculated for the ASA.
  • The proposed frequency for disclosure for all listed and non-listed ‘large’ firms and ‘other’ listed firms is semi-annual. For ‘other’ non-listed firms, the disclosure frequency would be annual.
    
• UKB MR2 template:
  • Firms using the IMA would be required to disclose information on the different components for the capital requirement under the IMA for market risk.
  • Firms would be required to disclose an accompanying narrative describing:
    • the components that are included for their most recent risk measure and the components that are included for their average of the previous 60 days for ES, internally modelled capital charge (IMCC) and SSR, and 12 weeks for DRC-IMA;
    • a comparison of value-at-risk (VaR) estimates with actual gains/losses experienced by the firm; and
    • any significant change between the prior two disclosure periods and the key drivers of such changes.
  • The frequency of disclosure is proposed to be quarterly for ‘large’ listed firms, semi-annual for ‘large’ unlisted firms and ‘other’ listed firms, and annual for ‘other’ unlisted firms.
    
• UKB MR3 template:
  • All eligible firms that use the SSA would need to disclose the different components for the capital requirement calculation under this approach. The proposed disclosure would include the total capital requirement as well as a breakdown across the different risk classes by specific approaches, and of securitisation positions.
  • The proposed frequency for disclosure for all listed and non-listed ‘large’ firms and ‘other’ listed firms is semi-annual. For ‘other’ non-listed firms, the frequency would be annual.

Credit valuation adjustment

11.16 Chapter 7 sets out the PRA’s proposed implementation of the Basel 3.1 standards on CVA and Chapter 12 presents the corresponding proposals for regulatory reporting. The Pillar 3 disclosures proposed in this section reflect the proposals outlined in these chapters.

11.17 To help ensure that firms continue to disclose relevant information on the underlying calculation components and capital requirements for CVA, the PRA proposes to introduce six new disclosure templates on CVA, and to delete the existing UK CCR2 template. The proposed new templates described below would align CVA disclosures with the Basel 3.1 standards on disclosure.

Qualitative

• UKB CVAA template:
  • All firms that are required to calculate CVA capital requirements would be required to disclose this template which includes qualitative information on a firm’s CVA risk management objectives and policies.
  • In addition, firms would be required to disclose their eligibility for, and application of, the alternative approach (AA-CVA) whereby the capital requirement for CVA is set at 100% of the capital requirement for counterparty credit risk.
  • Firms categorised as ‘large’ and ‘other’ under the CRR, both listed and non-listed, would be required to disclose this template at an annual frequency.
• UKB CVAB template:
  • Firms that use the SA-CVA methodology to calculate their capital requirement for CVA would be required to disclose qualitative information on the main characteristics of their CVA risk management framework. This would include a description of that framework, the role of senior management within it, and an overview of the governance surrounding it.
  • Firms categorised as ‘large’ and ‘other’ under the CRR, both listed and non-listed, would need to disclose this template at an annual frequency.

Quantitative

• UKB CVA1 template:
  • Firms that use the reduced (simplified) BA-CVA approach to measure their CVA capital requirement either partially or fully would be required to disclose the key underlying components of the capital requirements calculation alongside the total capital requirement for CVA under this approach.
  • Firms would be required to describe the types of hedge instruments used even if these are not taken into account under the reduced BA-CVA.
  • The proposed frequency for disclosure for all listed and non-listed ‘large’ firms and ‘other’ listed firms is semi-annual. For ‘other’ non-listed firms, the frequency would be annual.
    
• UKB CVA2 template:
  • Firms that use the full BA-CVA approach to measure their CVA capital requirement would be required to disclose the capital requirement calculated under the full BA-CVA, where calculations under the reduced and the hedged BA-CVA would need to be included.
  • The proposed frequency for disclosure for all listed and non-listed ‘large’ firms and ‘other’ listed firms is semi-annual. For ‘other’ non-listed firms, the proposed frequency would be annual.
• UKB CVA3 template:
  • Firms that use the SA-CVA either partially or fully to calculate their capital requirement for CVA would be required to disclose the underlying capital requirement components by the six asset classes applicable, alongside the overall capital requirement for CVA under this approach.
  • The proposed frequency for disclosure for all listed and non-listed ‘large’ firms and ‘other’ listed firms is semi-annual. For ‘other’ non-listed firms, the frequency would be annual.
    
• UKB CVA4 template:
  • Firms applying the SA-CVA either partially or fully to calculate their CVA capital requirement would be required to disclose two consecutive reporting period values of capital requirements and supplement any significant changes in values with a narrative explaining the key driver of the changes.
  • The proposed frequency for disclosure for all listed and non-listed ‘large’ firms and ‘other’ listed firms would be quarterly. For ‘other’ non-listed firms, the frequency would be annual.

Counterparty credit risk

11.18 Chapter 7 sets out the PRA’s proposed implementation of the Basel 3.1 standards on CCR and Chapter 12 presents the corresponding proposal for regulatory reporting. The Pillar 3 disclosures proposed in this chapter reflect the proposals set out in Chapter 7, namely the targeted reduced recalibrations to the standardised approach to the counterparty credit risk (SA-CCR) framework for calculating exposures to non-financial counterparties (NFCs) and pension scheme arrangements. To achieve this overall recalibration, the PRA proposes to reduce the SA-CCR alpha factor from 1.4 to 1 for transactions with NFCs and pension scheme arrangements.

11.19 The PRA proposes updating one existing disclosure template, UK CCR1.

• UKB CCR1 template:
  • ‘Large’ and listed ‘other’ firms are already required to complete this template. The extent of the modifications is the amendment of two rows, the addition of two rows, and an addition of a single column. The PRA proposes to add two rows that would separately disclose the calculation for NFCs and pension scheme arrangements under the SA-CCR and simplified SA-CCR approaches so that an alpha factor of 1 (instead of 1.4) can be used for computing the regulatory exposure value.
  • A proposed new column would disclose the additional capital ‘add-on’ required to be held for legacy transactions and new transactions with NFCs and pension scheme arrangements.
  • The existing frequency of disclosure for this template is proposed to be retained for all firms in scope of the proposals.

Operational risk

11.20 Chapter 8 sets out the PRA’s proposed implementation of the Basel 3.1 standards on operational risk and Chapter 12 presents the corresponding proposals for regulatory reporting. The Pillar 3 disclosures proposed in this section reflect the proposals outlined in these chapters.

11.21 The proposals in this section would introduce new Pillar 3 templates that align with the templates under the Basel 3.1 standards in terms of content and format, to assist firms in disclosing information on the SA and historical losses under the PRA’s proposed implementation of the Basel 3.1 standards. The PRA proposes to modify one existing Pillar 3 template (UK ORA), delete one existing template (UK OR1), and introduce three new disclosure templates which are described below for firms in scope of the proposals in Chapter 8.

Qualitative

• UKB ORA template:
  • The PRA proposes to modify UK ORA to disclose an outline of the operational risk management organisational structure and control function, operational risk measurement system, the scope and main content of the reporting to the executive function and board of directors, and the use of risk mitigation and risk transfer in managing operational risk.
  • This proposed disclosure frequency would remain annual for all firms in scope of Chapter 8.

Quantitative

• UKB OR1 template – historical losses:
  • The PRA proposes to introduce a disclosure template on historical losses that reflects the proposal set out in Chapter 8 for firms to develop policies and procedures for gross loss definitions, loss reference dates and the grouping of losses, and the Basel disclosure standards. Only firms with a business indicator (BI) greater than £0.88 billion would disclose UKB OR1. The proposed template would disclose aggregate operational losses incurred over the past ten years, based on the accounting date of the incurred losses, consistent with loss reserve recognition in a firm’s profit and loss (P&L). The PRA proposes to set the threshold for including a loss event in the loss dataset at £20,000, and firms would be required to separately disclose losses greater than £20,000 and greater than £90,000 when disclosing loss data. The PRA considers that disclosure on operational risk losses would improve the transparency on operational risk events.
  • This proposed disclosure frequency of this template would be annual, aligned with the Basel 3.1 standards.
• UKB OR2 template – business indicator and subcomponents:
  • The PRA proposes that firms disclose the BI, its subcomponents, and a granular breakdown of the subcomponents, which inform the operational risk capital requirement calculation. The proposed disclosures would be reported over a three-year retrospective basis.
  • This proposed disclosure frequency for all firms of this template would be annual, aligned with the Basel 3.1 standards.
• UKB OR3 template – minimum required capital:
  • The PRA proposes that firms would disclose the minimum operational risk capital requirement, based on a value of 1 for the ILM and the business indicator component (BIC).
  • The PRA does not propose that firms disclose the ILM result in UKB OR3, consistent with the proposed calibration of the ILM to 1 in Chapter 8.
  • This proposed disclosure frequency of this template would be annual, aligned with the Basel 3.1 standards.

11.22 The proposals for the quantitative disclosures expand the scope of the existing CRR approach whereby non-listed ‘other’ firms are not required to make quantitative operational risk disclosures. Under the proposals in this section, these firms would be required to disclose quantitative information to facilitate comparability with other firms.

Output floor

11.23 Chapter 9 sets out the PRA’s proposed implementation of the Basel 3.1 standards for the output floor, and Chapter 12 presents the corresponding proposals for regulatory reporting. The proposed Pillar 3 disclosures set out in this section reflect the proposals as set out in these chapters.

11.24 To help to ensure that firms would disclose relevant information in respect of this new methodology, the PRA proposes to introduce two new disclosure templates on the output floor that are aligned with the Basel 3.1 standards.

• UKB CMS1 template:
  • Firms with internal model permissions to calculate RWAs would disclose this template at the consolidated level to which the output floor applies and by risk type.
  • Firms would disclose:
    • RWAs computed for the modelled approaches firms have permission to use;
    • RWAs for a firm’s portfolio where the SA is used;
    • total RWA, which is the summation of the modelled RWA and the standardised RWA calculated above; and
    • RWA calculated for all risks using only the SA and prior to the application of the output floor.
  • UKB CMS2 template:
    • Firms with permission to use the IRB approach for calculating credit risk would be required to disclose the following information in this template:
      • RWAs calculated using the IRB approach, broken down by exposure class;
      • equivalent standardised RWAs by exposure class;
      • total RWAs which sum the RWAs calculated from the IRB approach and the SAs above, by exposure class; and
      • RWA calculated for all risks using only the SA and prior to the application of the output floor.

11.25 The frequency for disclosing the information in template UKB CMS1 is proposed to be quarterly for ‘large’ listed firms, semi-annual for ‘large’ non-listed firms and ‘other’ listed firms, and annual for ‘other’ non-listed firms (‘large’ and ‘other’ as defined under the CRR). For template UKB CMS2, the proposed disclosure frequency is semi-annual for ‘large’ listed and non-listed firms as well as ‘other’ listed firms, and annual for ‘other’ non-listed firms.

Consequential updates to capital summary disclosures

11.26 The PRA proposes to implement the revisions under the Basel 3.1 standards relevant to the existing templates UK KM1 and UK OV1 for all firms within the proposed scope of application of the Basel 3.1 standards. The key changes proposed are described below.

• UKB KM1 template:
  • The PRA proposes to revise UK KM1 to disclose the total RWAs, the Common Equity Tier 1 (CET1), Tier 1, and total capital ratios separately before the output floor is applied;
  • additional rows are also proposed to disclose capital metrics reflecting fully loaded expected credit losses (ECL) once the International Financial Reporting Standard (IFRS) 9 transitional ceases to apply to an individual firm; and
  • minor revisions to row titles to reflect the terminology used in the Basel standards on KM1 disclosure.
• UKB OV1 template:
  • Proposed revisions include new rows reflecting the revised Pillar 1 RWA approaches set out in this CP, and the output floor.

11.27 The PRA proposes to retain the existing disclosure frequency based on firms’ size and listing status.

PRA objectives analysis

11.28 The PRA considers that the proposal to introduce new disclosure requirements for the PRA’s implementation of the Basel 3.1 standards would support UK firms in providing transparent and consistent information on their credit risk RWAs, and market, CVA, and operational risk capital requirements, output floor RWAs, and key metrics to users of the Pillar 3 report. This would aid comparability of firms operating both within the UK and in other jurisdictions adopting the Basel 3.1 standards which would facilitate the continued exercise of market discipline, and in turn advance the PRA’s primary objective of safety and soundness.

11.29 The proposed disclosure templates in this chapter intends to maintain the international alignment of UK firms’ disclosures with the Basel disclosure standards. The PRA considers that the standardisation and alignment of the proposed disclosures in this CP would support its secondary competition objective, by ensuring that firms disclose in a consistent way. The PRA considers that the proposed frequencies for non-listed and ‘other’ category firms is proportionate, which supports competition for firms with relatively smaller balance sheets, and with differing participation in capital markets.

‘Have regards’ analysis

11.30 In developing these proposals, the PRA has had regard to the FSMA regulatory principles, the aspects of the Government’s economic policy set out in the HMT recommendation letter from 2021 and the supplementary recommendation letter sent April 2022. Where the proposed new rules are CRR rules (as defined in section 144A of FSMA), the PRA has also taken into consideration the matters to which it is required to have regard when proposing changes to CRR rules. The following factors, to which the PRA is required to have regard, were significant in the PRA’s analysis of the proposals:

1. Proportionality (FSMA regulatory principles and Legislative and Regulatory Reform Act 2006):

• The PRA considers that the disclosure proposals set out in this section would be proportionate to firms applying the new risk methodologies and reflect the internal data needed by firms to monitor their risks under the calculation proposals set out in this CP, as well as to report on these risks to the PRA. The proposed templates are aligned with the disclosure templates under the Basel 3.1 standards, except where the proposals set out elsewhere in this CP would render certain content not relevant for UK firms (eg ILM result).
• For the operational loss disclosure, the proposed application threshold aims to ensure that loss event disclosure is limited to larger, more complex firms.
• The CVA and market risk disclosure proposals allow firms to apply three different approaches, and the proposed disclosure templates vary according to the methodology applied.
• The PRA proposed disclosure frequencies for large non-listed and all other firms aim to ensure that the proposed disclosures are proportionate to firm’s size and capital market activity. The PRA considers its approach proportionate by recognising the different levels of risks posed by firms of differing levels of complexity.

2. Senior management responsibility (FSMA regulatory principles):

• The PRA considers that the disclosure proposals would continue the existing PRA requirement for management body or senior management to maintain internal processes, systems, and controls to verify that the firm’s disclosures are appropriate and in compliance with PRA rules, including the existing attestation requirement. The proposals set out in this chapter would increase the volume of disclosures subject to senior management oversight and attestation.

3. Different business models (FSMA regulatory principles):

• The proposed CVA, market, and credit risk frameworks include a range of different proposed approaches intended for different types of firms with different business models and capabilities. The disclosure proposals reflect the inherent variability in potential capital calculation approaches associated with these business models.

4. PRA publishing information relating to persons on whom requirements are imposed, or requiring such persons to publish information (FSMA regulatory principles):

• The PRA recognises that the disclosure proposals in this chapter would impose a requirement on firms to publish the necessary information and the PRA has, in its proposals, broadly adopted the content of the Basel 3.1 standards that other international jurisdictions are anticipated to adopt.

5. Relevant international standards (FSMA CRR rules):

• The PRA considers its disclosure proposals presented in this chapter align with international standards and templates in content, and would help to ensure that UK firms are publishing consistent and comparable information on RWAs as their peers in different jurisdictions. Meeting international standards would support confidence in UK firms and their international competitiveness. However, in certain cases, the PRA proposes to deviate from the disclosure frequencies under the Basel 3.1 standards by maintaining its existing requirements that are based on the size and listing status of firms.

6. Transparency (Legislative and Regulatory Reform Act 2006):

• Proposed new rules are being consulted on as part of this consultation. All proposed requirements are set out objectively in the draft rule instrument. The proposed requirements are accompanied by the proposed reporting and disclosure templates. Together, this material should set out clearly to firms what requirements would apply, and the format in which the PRA proposes that firms should comply. This chapter and the accompanying appendices aim to provide firms with a clear picture of the proposed impact of the reporting and disclosures requirements.

7. Consistency (Legislative and Regulatory Reform Act 2006):

• The PRA proposes to implement the content of the Basel disclosure templates and therefore, UK firms would be required to disclose information on a consistent basis at a UK level and also internationally.