BASEL III PILLAR 3 DISCLOSURES
Julius Baer Group Ltd.
According to FINMA circular 2016/1 'Disclosure Banks'
CONTENTS
BASEL III PILLAR 3
DISCLOSURES 2021 JULIUS BAER GROUP LTD.
4 INTRODUCTION
8 KEY METRICS
9 RISK MANAGEMENT FRAMEWORK
12 LINKAGE BETWEEN FINANCIAL STATEMENTS AND REGULATORY EXPOSURES
16 CAPITAL COMPONENTS
22 LEVERAGE RATIO
24 LIQUIDITY RISK
29 CREDIT RISK
38 COUNTERPARTY CREDIT RISK
42 SECURITISATIONS
44 MARKET RISK
49 INTEREST RATE RISK IN THE BANKING BOOK
53 OPERATIONAL RISK
BASEL III PILLAR 3
IntroductIon
IntroductIon
SCOPE OF PILLAR 3 DISCLOSURES
This report provides Pillar 3 disclosures for Julius Baer Group Ltd. (the Group) on a consolidated basis as at 31 December 2021. The disclosures in the report are based on the FINMA regulatory requirements as prescribed in the circular 2016/ 1 'Disclosure - banks' which includes the implementation of the revised Pillar 3 disclosure requirements issued by the Basel Committee on Banking Supervision (BCBS) in March 2017. The Basel III capital adequacy framework consists of three complementary pillars:
- Pillar 1 provides a framework for measuring minimum capital requirements for the credit, market, operational and non-counterparty-related risks faced by banks.
- Pillar 2 addresses the principles of the super-visory review process, emphasising the need for a qualitative approach to supervising banks.
- Pillar 3 requires banks to publish a range of dis-closures, mainly covering risk, capital, leverage and liquidity.
basis in its Annual Report with reference to the Group Pillar 3 information published in the Financial Reporting section of the Julius Baer website (www.juliusbaer.com/reporting).
Information provided in the Annual Report 2021 of the Group, published in the Financial Reporting section of the Julius Baer website (www.juliusbaer. com/reporting), or other publications may also serve to address Pillar 3 disclosure requirements. Where this is the case, a reference is provided in this report to the Group's publication where the information is available. The regulatory capital information as at 31 December 2021 for the Group is provided in the section 'Comment on capital management' of the Annual Report 2021 of the Group, pages 135-138.
The Group's Pillar 3 disclosures as at 31 December 2021, 30 June 2021 and 31 December 2020 are based on fully applied amounts, which means that no Basel III phase-in rules are applied anymore.
The aim of the Pillar 3 standards is to improve com-parability and consistency of disclosures through the introduction of harmonised templates. The Group is subject to the full disclosure requirements in accordance with the FINMA circular 2016/1 'Disclosure - banks'. Bank Julius Baer & Co. Ltd. is exempted from detailed Pillar 3 disclosures. It must nevertheless disclose its key figures on an annual
FREQUENCY OF PILLAR 3 DISCLOSURES
This report is published semi-annually. FINMA has specified the reporting frequency for each disclosure as either annual or semi-annual. The following list gives an overview of the tables to be disclosed according to the FINMA circular 2016/1. Tables not applicable to the Group are indicated therein.
BASEL III PILLAR 3
IntroductIon
Pillar 3 table overview
Basel framework
Period1 | reference code | Table name |
HY | KM1 | Key metrics (at consolidated Group level) |
KM2 | Key metrics - TLAC requirements (at resolution group level)2 | |
Y | OVA | Bank risk management approach |
HY | OV1 | Overview of risk-weighted assets |
Differences between accounting and regulatory scopes of consolidation and mapping of | ||
Y | LI1 | financial statement categories with regulatory risk categories |
Main sources of differences between regulatory exposure amounts and | ||
Y | LI2 | carrying values in financial statements |
Y | LIA | Explanations of differences between accounting and regulatory exposure amounts |
Y | PV1 | Prudent valuation adjustments (PVA) |
Y | CC1 | Composition of regulatory capital |
Y | CC2 | Reconciliation of regulatory capital to balance sheet |
Y | CCA | Presentation of material features of regulatory capital instruments3 |
TLAC1 | TLAC composition for G-SIBs (at resolution group level)2 | |
TLAC2 | Material subgroup entity - creditor ranking at legal entity level2 | |
TLAC3 | Resolution entity - creditor ranking at legal entity level2 | |
GSIB1 | Disclosure of G-SIB indicators2 | |
Y | CCyB1 | Geographical distribution of credit exposures used in the countercyclical buffer |
Y | LR1 | Summary comparison of accounting assets versus leverage ratio exposure measure |
Y | LR2 | Leverage ratio common disclosure |
Y | LIQA | Management of liquidity risks |
HY | LIQ1 | Liquidity coverage ratio |
HY | LIQ2 | Net stable funding ratio |
Y | CRA | Credit risk: General information |
Y | CR1 | Credit risk: Credit quality of assets |
Y | CR2 | Credit risk: Changes in stock of defaulted loans and debt securities |
Y | CRB | Credit risk: Additional disclosure related to the credit quality of assets |
Y | CRC | Credit risk: Qualitative disclosure requirements related to mitigation techniques |
Y | CR3 | Credit risk: Overview of mitigation techniques |
Y | CR4 | Credit risk: Exposure and credit risk mitigation (CRM) effects under the standardised approach |
Credit risk: Qualitative disclosures of banks' use of external credit ratings | ||
Y | CRD | under the standardised approach |
Y | CR5 | Credit risk: Exposures by exposure category and risk weights under the standardised approach |
CRE | IRB: Qualitative disclosures related to IRB models2 | |
CR6 | IRB: Credit risk exposures by portfolio and PD range2 | |
CR7 | IRB: Effect on risk-weighted assets (RWA) of credit derivatives used as CRM techniques2 | |
CR8 | IRB: RWA flow statements of credit risk exposures2 | |
CR9 | IRB: Backtesting of probability of default (PD) per portfolio2 | |
CR10 | IRB: Specialised lending and equities under the simple risk weight method2 | |
Y | CCRA | Counterparty credit risk: Qualitative disclosure |
1 Period of publication according to the FINMA circular 2016/1, annex 1.
2 Not applicable to the Group.
3 Details of material features of regulatory capital instruments are published in the Financial Reporting section of the Julius Baer website (www.juliusbaer.com/reporting).
This is an excerpt of the original content. To continue reading it, access the original document here.
Attachments
- Original Link
- Original Document
- Permalink
Disclaimer
Julius Bär Gruppe AG published this content on 29 April 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 April 2022 05:11:06 UTC.