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.
- 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
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