BCBS Consults on Disclosure Templates of Sovereign Exposures of Banks
BCBS published a consultation on the voluntary disclosure templates related to sovereign exposures of banks. The consultation on voluntary disclosure of sovereign exposures proposes three Pillar 3 templates for the disclosure of sovereign exposures of banks. The implementation of these templates is mandatory for banks only when required by national supervisors at a jurisdictional level. The comment period for the consultation ends on February 14, 2020.
The templates for sovereign exposures of banks build on the contents of the December 2017 discussion paper of BCBS on the regulatory treatment of sovereign exposures and on the feedback received to this discussion paper. The templates break down the sovereign exposures of a bank by country, currency, and accounting treatment:
- The first template requires banks to disclose the amounts of banking book and trading book exposures, as well as risk-weighted assets, for each jurisdiction separately when they are material and in total for all jurisdictions. A breakdown of the amounts for individual jurisdictions that are denominated in domestic currency should be provided.
- The second template requires disclosure of sovereign exposures and the corresponding risk-weighted assets by individual currency.
- The third template categorizes sovereign exposures according to the applicable accounting classification. For example, exposures denominated as "debt instruments" are further classified into "fair value," "available for sale," and "financial assets held at amortized cost" categories. In addition, this template requires a maturity breakdown of on-balance sheet sovereign exposures.
The classification into types of sovereign exposures used in the templates proposed in this chapter are consistent with the credit risk framework and not with the specific classification proposed by the 2017 discussion paper. Additionally, the market risk definitions used for the trading book sovereign exposures have been aligned with the January 2019 revised market risk standard. More generally, the definitions used in the templates that are associated with the credit risk and market risk frameworks are aligned with the version of these frameworks that will take effect as of January 01, 2022.
Related Links
- Press Release
- Consultation on Sovereign Exposure Disclosures (PDF)
- Treatment of Sovereign Exposures, December 2017
- Market Risk Requirements, January 2019
Comment Due Date: February 14, 2020
Keywords: International, Banking, Basel III, Sovereign Exposures, Disclosures, Templates, Pillar 3, BCBS
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Previous Article
IMF Paper Examines Dynamics of NPLs During Banking CrisesRelated Articles
US Agencies Issue Regulatory Updates, FDIC Launches Tech Sprint
The Board of Governors of the Federal Reserve System (FED) published the final rule that amends Regulation I to reduce the quarterly reporting burden for member banks by automating the application process for adjusting their subscriptions to the Federal Reserve Bank capital stock, except in the context of mergers.
EBA Issues Guide on Bank Resolvability, Consults on Transferability
The European Banking Authority (EBA) published its assessment of risks through the quarterly Risk Dashboard and the results of the Autumn edition of the Risk Assessment Questionnaire (RAQ).
HKMA Extends Repayment for Trade Facilities, Consults on Crypto-Assets
The Hong Kong Monetary Authority (HKMA) published a circular, along with the reporting form and instructions, for self-assessment, by authorized institutions, of compliance with the Code of Banking Practice 2021.
FCA Registers Securitization Repositories; PRA Issues 2022 Priorities
The Financial Conduct Authority (FCA) decided to register European DataWarehouse Ltd and SecRep Limited as securitization repositories under the UK Securitization Regulation, with effect from January 17, 2022.
EC Regulation Sets Out Methods for Measuring K-Factors Under IFR
The European Commission (EC) published the Delegated Regulation 2022/25, which supplements the Investment Firms Regulation (IFR or Regulation 2019/2033) with respect to the regulatory technical standards specifying the methods for measuring the K-factors referred to in Article 15 of the IFR.
BIS Studies How Platform Models Impact Financial Stability & Inclusion
The Bank of International Settlements (BIS) published a paper that assesses the ways in which platform-based business models can affect financial inclusion, competition, financial stability and consumer protection.
ESAs Publish List of Financial Conglomerates for 2021
The European Supervisory Authorities (ESAs) published the list of identified financial conglomerates for 2021.
APRA Licenses Two More Banks, Reduces Committed Liquidity Facility
The Australian Prudential Regulation Authority (APRA) updated the list of authorized deposit-taking institutions, granting license to Barclays Bank PLC and Crédit Agricole Corporate and Investment Bank to operate as foreign authorized deposit-taking institutions under the Banking Act 1959.
EU Issues SII Corrigendum; EIOPA Assesses SII Reporting Exemptions
EU published, in the Official Journal of the European Union, a corrigendum to the Delegated Regulation 2015/35, which supplements Solvency II Directive (2009/138/EC).
EBA Opines on Impact of De-Risking and Associated AML/CFT Challenges
The European Banking Authority (EBA) published an Opinion on the scale and impact of de-risking in European Union and the steps that competent authorities should take to tackle unwarranted de-risking.
