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Standards - Revised Pillar 3 disclosure requirements (Jan 2015)IntroductionPart 1: Guide for disclosure of Pillar 3 informationI. Scope and implementation of the revised Pillar 3 frameworkII. Guiding principles for banks' Pillar 3 disclosuresIII. Presentation of the disclosure requirementsIV. Format and reporting frequency of each disclosure requirementPart 2: Overview of risk management and RWAPart 3 : Linkages between financial statements and regulatory exposuresPart 4: Credit riskI. General information about credit riskII. Credit risk mitigationIII. Credit risk under standardised approachIV. Credit risk under internal risk-based approachesPart 5: Counterparty credit riskPart 6: SecuritisationI. Quantitative disclosure - description of a bank's securitisation exposuresII. Quantitative disclosure - calculation of capital requirementsPart 7: Market riskPart 8: Operational risk (unchanged)Part 9: Interest rate risk in the banking book (unchanged)Annex I AbbreviationsAnnex II BCBS disclosure publications superseded by this document and remaining in force
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Version date: 28 January 2015 - onwards

Part 9: Interest rate risk in the banking book (unchanged)

Interest rate risk in the banking book (IRRBB)

Qualitative disclosures

(a)

The general qualitative disclosure requirement (paragraph 824), including the nature of IRRBB and key assumptions, including assumptions regarding loan prepayments and behaviour of non-maturity deposits, and frequency of IRRBB measurement.

Quantitative disclosures

(b)

The increase (decline) in earnings or economic value (or relevant measure used by management) for upward and downward rate shocks according to management’s method for measuring IRRBB, broken down by currency (as relevant).
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