Requirement (Basel II)
Capital adequacy disclosure
Requirements - Basel II
Description
Description
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:
• Portfolios subject to standardised or simplified standardised approach, disclosed separately for each portfolio;
• 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:
• Corporate (including SL not subject to supervisory slotting criteria), sovereign and bank;
• Residential mortgage;
• Qualifying revolving retail; and
• Other retail;
• Securitisation exposures.
(c) Capital requirements for equity exposures in the IRB approach:
• Equity portfolios subject to the market-based approaches;
• Equity portfolios subject to simple risk weight method; and
• Equities in the banking book under the internal models approach (for banks using IMA for banking book equity exposures).
• Equity portfolios subject to PD/LGD approaches.
(d) Capital requirements for market risk:
• Standardised approach;
• Internal models approach — Trading book.
(e) Capital requirements for operational risk:
• Basic indicator approach;
• Standardised approach;
• Advanced measurement approach (AMA).
(f) Total and Tier 1192 capital ratio:
• For the top consolidated group; and
• For significant bank subsidiaries (stand alone or sub-consolidated depending on how the Framework is applied).