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Title[ Part 4: The Third Pillar — Market Discipline

Section[ C. Capital

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Table 2

Capital structure

Qualitative Disclosures

(a)        Summary information on the terms and conditions of the main features of all capital instruments, especially in the case of innovative, complex or hybrid capital instruments.

Quantitative Disclosures

(b) The amount of Tier 1 capital, with separate disclosure of:

w paid-up share capital/common stock;

w reserves;

w minority interests in the equity of subsidiaries;

w innovative instruments; ¹³¹

w other capital instruments;

w surplus capital from insurance companies; ¹³²

w regulatory calculation differences deducted from Tier 1 capital; ¹³³ and

w other amounts deducted from Tier 1 capital, including goodwill and investments.

(c)        The total amount of Tier 2 and Tier 3 capital.

(d)        Other deductions from capital. ¹³⁴

(e)        Total eligible capital.

131 Innovative instruments are covered under the Committee’s press release, Instruments eligible for inclusion in

Tier 1 capital (27 October 1998).

132 See paragraph 33.

133 Representing 50% of the difference (when expected losses as calculated within the IRB approach exceed total provisions) to be deducted from Tier 1 capital.

134 Including 50% of the difference (when expected losses as calculated  within the IRB approach exceed total provisions) to be deducted from Tier 2 capital.

Table 3

Capital Adequacy

Qualitative disclosures

(a)        A summary discussion of the bank’s approach to assessing the adequacy of its capital to support current and future activities.

Quantitative disclosures

(b)        Capital requirements for credit risk:

w Portfolios subject to standardised or simplified standardised approach, disclosed separately for each portfolio;

w Portfolios subject to the IRB approaches, disclosed separately for each portfolio under the foundation IRB approach and for each portfolio under the advanced IRB approach:

w Corporate (including SL not subject to supervisory slotting criteria), sovereign and bank;

w Residential mortgage;

w Qualifying revolving retail; ¹³⁵ and

w Other retail;

w Securitisation exposures.

(c)        Capital requirements for equity exposures in the IRB approach:

w Equity portfolios subject to the market-based approaches;

w Equity portfolios subject to simple risk weight method; and

w Equities in the banking book under the internal models approach (for banks using IMA for banking book equity exposures).

w Equity portfolios subject to PD/LGD approaches.

(d)        Capital requirements for market risk ¹³⁶:

w Standardised approach;

w Internal models approach — Trading book.

(e)        Capital requirements for operational risk ¹³⁶:

w Basic indicator approach;

w Standardised approach;

w Advanced measurement approach (AMA).

(f)         Total and Tier 1 ¹³⁷ capital ratio:

w For the top consolidated group; and

w For significant bank subsidiaries (stand alone or sub-consolidated depending on how the Framework is applied).

135 Banks should  distinguish between the separate  non-mortgage retail  portfolios used for the Pillar 1  capital calculation (i.e. qualifying revolving retail exposures  and other retail exposures) unless these portfolios are insignificant in size (relative  to overall credit exposures)  and the risk profile of each portfolio is sufficiently similar such that separate disclosure would not help users’ understanding of the risk profile of the banks’ retail business.

136 Capital requirements are to be disclosed only for the approaches used.

137 Including proportion of innovative capital instruments.

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