RBI’s Pillar 3 Proposes Disclosure of Liquidity Risks and Measures 

1. Overview of risk management, key prudential metrics, and RWA

Template KM1: Key metrics (at consolidated group level)

New addition in the form of summary table, cross-linked to respective detailed tables

• Liquidity Coverage Ratio (LCR)
• Net Stable Funding Ratio (NFSR)

Quarterly

Table OVA: Bank risk management approach

General qualitative disclosure requirement under Risk Exposure and Assessment

More granular information such as risk governance structure, qualitative information on stress testing etc. 

Annual

Template OV1: Overview of RWA

No specific equivalent

RWAs and minimum capital requirements broken down for various risk categories: credit, CCR, market, operational etc.

Quarterly

2. Linkages between financial statements and regulatory exposures

Table LIA: Explanations of differences between accounting and regulatory exposure amounts

New table, some information overlap with Table DF-1: Scope of application

Qualitative explanations on the differences observed between accounting carrying value and amounts considered for regulatory purposes

Annual

Table LIB: Outline of the differences in the scope of consolidation (entity by entity)

Corresponds to Table DF-1: Scope of application

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Annual

Template LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories

No specific table; however, overlaps with Table DF-12: Composition of capital – reconciliation requirements

Breakdown of each component of balance sheet by risk framework — credit risk, CCR, securitisation, market risk, or not subject to capital requirements/ capital deduction 

Annual

Template LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements

No specific table; source of material differences between its total balance sheet assets (net of on-balance sheet derivative and SFT assets) as reported in its financial statements and its on-balance sheet exposures to be disclosed and detailed in line 1 of the common disclosure template.

Detailed template covers sources of differences, viz., valuation differences, netting differences, provisions, and prudential filters — by risk category column.

Annual

Template PV1 – Prudent valuation adjustments (PVAs)

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Only a single line-item within regulatory capital composition table

Break down PVAs by type (CVA loss, closeout cost, early termination, model risk, operational risk, funding costs, administrative costs, other) and by instrument category (equity, rates, FX, credit) and book (trading / banking).

Annual

3 Composition of Capital

Table CCA – Main features of regulatory capital instruments

Table DF-13: Main features of regulatory capital instruments

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Ongoing, at least on a semi-annual basis

Template CC1 – Composition of regulatory capital

Table DF-11: Composition of capital

–

Semi-annual

Template CC2: Reconciliation of regulatory capital to balance sheet

Table DF-12: Composition of capital – reconciliation requirements

Higher granularity provided under each line-item

Semi-annual

4 Remuneration

Table REMA – Remuneration policy

Qualitative disclosures under Table DF-15: Disclosure requirements for remuneration

Annual

Template REM1 – Remuneration awarded during financial year

Quantitative disclosures under Table DF-15: Disclosure requirements for remuneration

More granular details sought 

Annual

Template REM2: Special payments

Annual

Template REM3: Deferred remuneration

Annual

5. Credit Risk

Table CRA – General qualitative information about credit risk

Table DF-3: Credit risk: general disclosures for all banks

Specific disclosure w.r.t. credit risk function, viz., 

• Structure and organisation of the credit risk management and control function
• Relationships between the credit risk management, risk control, compliance and internal audit functions etc. 

Annual

Template CR1: Credit quality of assets

Semi-annual

Template CR2: Changes in stock of non-performing loans and debt securities

Semi-annual

Table CRB: Additional disclosure related to the credit quality of assets

• Breakdown of restructured exposures between standard and non-performing exposures.

Annual

Table CRC: Qualitative disclosure related to credit risk mitigation techniques

Table DF-5: Credit risk mitigation: disclosures for standardised approaches

–

Annual

Template CR3: Credit risk mitigation techniques – overview

–

Semi-annual

Table CRD: Qualitative disclosures on bank’s use of external credit ratings under the standardised approach for credit risk

Table DF-4 – Credit risk: disclosures for portfolios subject to the standardised approach (qualitative)

Annual

Template CR4: Standardised approach – credit risk exposure and Credit Risk Mitigation (CRM) effects

–

On-balance sheet and off-balance sheet exposures for each asset class:

• Before CCF and CRM 
• Post CCF and CRM
• RWA and RWA density

Semi-annual

Template CR5: Standardised approach – exposures by asset classes and risk weights

Table DF-4 – Credit risk: disclosures for portfolios subject to the standardised approach (quantitative)

Risk weight buckets increased; existing format  divides into 3 major risk buckets

Semi-annual

6. Counterparty credit risk

Table CCRA – Qualitative disclosure related to counterparty credit risk

Table DF-10: General disclosure for exposures related to counterparty credit risk

–

Annual

Template CCR1 – Analysis of counterparty credit risk (CCR) exposure by approach

Structured in a tabulated form with more granular data requirements

Semi-annual

Template CCR3 – CCR exposures by regulatory portfolio and risk weights

Semi-annual

Template CCR4 – Composition of collateral for CCR exposures

Semi-annual

Template CCR5 – Credit derivatives exposures

Template CCR6 – Exposures to central counterparties

7. Securitisation

Table SECA – Qualitative disclosure requirements related to securitisation exposures

Table DF-6: Securitisation exposures: disclosure for standardised approach

List of:

• affiliated entities (i) that the bank manages or advises and (ii) that invest either in the securitisation exposures that the bank has securitised or where the bank acts as facility provider.
• a list of entities to which the bank provides implicit support and the associated capital impact for each of them

Annual

Template SEC1 – Securitisation exposures in the banking book

Bifurcation based on: 

• bank as an originator and as an investor 
• STC and others 

Semi-annual

Template SEC2 – Securitisation exposures in the trading book

Semi-annual

Template SEC3 – Securitisation exposures in the banking book and associated regulatory capital requirements – bank acting as originator

–

Semi-annual

Template SEC4 – Securitisation exposures in the banking book and associated capital requirements – bank acting as investor

–

Semi-annual

8. Market Risk

Table MRA – Qualitative disclosure requirements related to market risk

Table DF-7: Market risk in trading book

Elaboration of qualitative disclosures, viz., 

• Strategies and processes 
• Structure and organisation of the market risk management function
• Scope and nature of risk reporting and/or measurement systems.

Annual

Template MR1 – Market risk under the standardised approach

Classification of positions: 

• Outright products 
• Options – Simplified approach, delta-plus method or scenario approach

Semi-annual

9. Operational Risk

Table ORA: Disclosure related to operational risk and operational resilience

Table DF-8: Operational risk

Elaboration of qualitative disclosures

10. Interest rate Risk

Table IRRA: Disclosure related to Interest Rate Risk

Table DF-9: Interest rate risk in the banking book (IRRBB)

Elaborated qualitative disclosures

Annual for qualitative disclosure and semiannual for quantitative disclosure

11. Macroprudential supervisory measures

Template GSIB1 – Disclosure of G-SIB indicators

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12 indicators used in the assessment methodology of the G-SIB framework

Annual

Template CCyB1 – Geographical distribution of credit exposures used in the countercyclical capital buffer

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Geographical breakdown of private sector credit exposures (values and RWAs) and Countercyclical capital buffer rate for computation of the bank-specific countercyclical capital buffer rate and amount

Semi-annual

12. Leverage Ratio

Template LR1 – Summary comparison of accounting assets vs leverage ratio exposure measure

Table DF 17- Summary comparison of accounting assets vs. leverage ratio exposure measure

–

Quarterly

Template LR2 – Leverage ratio common disclosure template

Table DF-18: Leverage ratio common disclosure template

–

Quarterly

13. Liquidity

Table LIQA – Liquidity risk management

–

See above

Annual

Template LIQ1 – Liquidity coverage ratio (LCR)

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Unweighted and weighted values of

• Total High Quality Liquid Assets 
• Cash outflows and cash inflows (component-wise)

Quarterly 

Template LIQ2 – Net stable funding ratio (NSFR)

–

Unweighted value by residual maturity and weighted value of

• Available Stable Funding (ASF) Item (each component)
• Required stable funding (RSF) Item (each component)

Semi-annual