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
EBA Clarifies Use of COVID-19-Impacted Data for IRB Credit Risk Models
The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.
BIS Hub Updates Work Program for 2022, Announces New Projects
The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.
US Senate Members Seek Details on SEC Proposed Climate Disclosure Rule
Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)
EIOPA Consults on Review of Securitization Framework in Solvency II
The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.
UK Authorities Issue Regulatory and Reporting Updates for Banks
The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.
BaFin Consults on Resolvability Requirements for Resolution Planning
The Federal Financial Supervisory Authority of Germany (BaFin) proposed to amend the “Capital Investment Conduct And Organization Ordinance” and issued a draft circular on the minimum resolvability requirements for resolution planning.
EBA Consults on Certain Standards and Guidelines Under CRR and BRRD
The European Banking Authority (EBA) proposed guidelines, for the resolution authorities, on the publication of the write-down and conversion and bail-in exchange mechanic, with the comment period ending on September 07, 2022.
OJK Publishes Regulatory Updates for Financial Sector Entities
The Financial Services Authority of Indonesia (OJK) is strengthening cooperation with the Australian Prudential Regulation Authority (APRA) and the Japanese Financial Services Agency (JFSA)
EU Publishes Rules on DLT and Data Governance
The European Parliament and the Council published Regulation 2022/868 on European data governance (Data Governance Act).
EBA Publishes Phase 2 of Reporting Framework 3.2
The European Banking Authority (EBA) published phase 2 of its reporting framework 3.2. The technical package supports the implementation of the updated reporting framework by providing standard specifications
