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
Pierre-Etienne Chabanel
Brings expertise in technology and software solutions around banking regulation, whether deployed on-premises or in the cloud.
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Previous Article
IMF Publishes Reports on 2019 Article IV Consultation with GreeceRelated Articles
EBA Updates List of Validation Rules for Reporting by Banks
EBA issued a revised list of validation rules with respect to the implementing technical standards on supervisory reporting.
EBA Responds to EC Call for Advice to Strengthen AML/CFT Framework
EBA published its response to the call for advice of EC on ways to strengthen the EU legal framework on anti-money laundering and countering the financing of terrorism (AML/CFT).
NGFS Advocates Environmental Risk Analysis for Financial Sector
NGFS published a paper on the overview of environmental risk analysis by financial institutions and an occasional paper on the case studies on environmental risk analysis methodologies.
MAS Issues Guidelines to Promote Senior Management Accountability
MAS published the guidelines on individual accountability and conduct at financial institutions.
APRA Formalizes Capital Treatment and Reporting of COVID-19 Loans
APRA published final versions of the prudential standard APS 220 on credit quality and the reporting standard ARS 923.2 on repayment deferrals.
SRB Chair Discusses Path to Harmonized Liquidation Regime for Banks
SRB published two articles, with one article discussing the framework in place to safeguard financial stability amid crisis and the other article outlining the path to a harmonized and predictable liquidation regime.
FSB Workshop Discusses Preliminary Findings of Too-Big-To-Fail Reforms
FSB hosted a virtual workshop as part of the consultation process for its evaluation of the too-big-to-fail reforms.
ECB Updates List of Supervised Entities in EU in September 2020
ECB updated the list of supervised entities in EU, with the number of significant supervised entities being 115.
OSFI Identifies Focus Areas to Strengthen Third-Party Risk Management
OSFI published the key findings of a study on third-party risk management.
FSB Extends Implementation Timeline for Framework on SFTs
FSB is extending the implementation timeline, by one year, for the minimum haircut standards for non-centrally cleared securities financing transactions or SFTs.
