As a follow on from its prudential standard on the treatment of crypto-asset exposures, the Basel Committee on Banking Supervision (BCBS) proposed disclosure requirements for crypto-asset exposures of banks. BCBS proposed a standardized disclosure table and set of templates for crypto-asset exposures of banks. The comment period on the proposal ends on January 31, 2024, with a proposed implementation date of January 01, 2025.
The proposal for these disclosures (DIS55), as set out in Annex 1 of the consultation paper, contains the following table and templates:
- Table CAEA: Qualitative disclosure on a bank’s activities related to crypto-assets and the approach used in assessing the classification conditions
- Template CAE1: Cryptoasset exposures and capital requirements
- Template CAE2: Accounting classification of exposures to crypto-assets and crypto-liabilities
- Template CAE3: Liquidity requirements for exposures to crypto-assets and crypto-liabilities
When finalized, DIS55 will replace paragraphs SCO60.128 to SCO60.130 of the Basel Framework. In addition to incorporating the requirements of SCO60.128 to SCO60.130, DIS55 will require banks to disclose the sources of information that they have used to assess whether the crypto-assets to which they are exposed comply with the crypto-asset classification conditions set out in SCO60 and includes standardized disclosures relating to liquidity requirements. The Committee expects that the use of the common disclosure table and templates will help to reduce information asymmetry among banks and market participants. BCBS welcomes feedback on all aspects of the proposals set out in this consultation, in addition to the feedback on the following issues:
- Classification condition assessment detail: For Group 1 cryptoasset exposures, Table CAEA requires banks to disclose the approach they have used to assess compliance with each of the four Group 1 classification conditions, including any public information used but excluding any confidential and proprietary information. The Committee is considering whether to add more detail on the information that banks should disclose for each classification condition.
- Window-dressing: The period-end amounts that banks report under the proposals may not give an accurate picture of the risk to which banks are exposed if the exposure values during the reporting period are significantly different to the period end values. Thus, the Committee sees merit in requiring banks to disclose the amounts in Template CAE1 using daily average values in addition to the period-end values.
- Materiality: Table CAEA and Template CAE1 include disclosure requirements for banks’ “material” crypto-asset exposures. The Committee is considering whether to define what constitutes a material exposure in this context of crypto-asset exposures disclosure and, if so, the appropriate threshold. The Committee would welcome feedback on the usefulness and specification of any potential materiality definition.
Keywords: International, Banking, Basel, Reporting, Disclosures, Crypto-Asset Platforms, BCBS
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