UK Basel 3.1: Reporting changes

15 Sept

On 30 November 2022, the Prudential Regulation Authority (PRA) published a Consultation Paper 16/22 (CP16/22) proposing the implementation of Basel 3.1 standards. The implementation of these changes has been deferred to 1 January 2027.

This section provides an overview of the changes to the reporting requirements. For each template, the ‘change type’ is highlighted as ‘New’ (where a new template is introduced), ‘Amended’ (where the current template is modified), and ‘Deleted’ (where the current template is discontinued).

Reporting changes are listed below based on the risk category:

1. Credit Risk

Key reporting changes for the Credit Risk - Standardised Approach are outlined below:

2. Operational Risk

All existing operational risk approaches [Basic Indicator Approach (BIA), Standardised Approach (SA), and Advanced Measurement Approach (AMA)] are replaced by the new Standardised Approach (SA). As a result, current templates will also be replaced by a new one. A summary of the reporting requirements of the new template is outlined below:

3. Credit Valuation Adjustment (CVA) Risk

The following three new methodologies have been introduced to replace the current framework:

Alternative Approach (AA-CVA)
Basic Approach (BA-CVA)
Standardised Approach (SA-CVA)

As a result of this, the current template is replaced by three new templates. A brief summary of reporting requirements of new templates is outlined below:

4. Market Risk

The following changes in the calculation of the own funds requirements for Market Risk are triggering changes to the reporting requirements as well:

The existing Standardised Approach has been recalibrated and renamed as the Simplified Standardised Approach (SSA)
Introduced a new more comprehensive standardised approach - the Advanced Standardised Approach (ASA)
Introduced a new Internal Model Approach (IMA), replacing the current modelled approach

A summary of the changes to the reporting requirements is outlined below: