The original Basel Accord was agreed in 1988 by the Basel Committee on Banking Supervision. This accord, now referred to as Basel I, helped to strengthen the stability of the international financial system as a result of the higher capital ratios that it required.

The Basel II accord is a revision of the existing framework, which aims to make the framework more risk sensitive and representative of the current day risk management practices.

The accord was implemented in the European Union through the Capital Requirements Directive (“CRD”). The CRD details the standard regulatory capital framework for the financial services industry within the EU and consists of three pillars:

– Pillar 1 specifies the minimum capital requirements of firms to cover credit, market and operational risk;

– Pillar 2 requires firms to assess the need to hold additional capital to cover risks not covered under Pillar 1; and

– Pillar 3 requires a set of disclosures to be made which enable market participants to assess information on firms’ capital, risk exposures and risk management procedures

The Financial Conduct Authority (“FCA”) holds responsibility for implementing the CRD within the United Kingdom and has set out its minimum Pillar 3 disclosure requirements in its handbook under Chapter 11 of the Prudential Sourcebook for Banks, Building Societies and Investment Companies (BIPRU 11).

The disclosure requirements in BIPRU 11 aim to complement the minimum capital requirements (Pillar 1) and the supervisory review process (Pillar 2) and aim to encourage market discipline by allowing market participants to assess the impact of key information on risk exposures and the risk assessment processes of the firm.

The following represents the Psigma Investment Management Limited (“Psigma” and the “Company”) Pillar 3 disclosures in accordance with this requirement.