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
Previous ArticleIMF Paper Examines Dynamics of NPLs During Banking Crises
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.
The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.
The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).
The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.
The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.
The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)
The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.
The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.
The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.