Following feedback received to The regulatory treatment of sovereign exposures – discussion paper, published in December 2017, the Committee is seeking views on three Pillar 3 templates for the disclosure of banks’ sovereign exposures. The implementation of these templates is voluntary – that is they are mandatory for banks only when required by national supervisors at a jurisdictional level.
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 categorises 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 amortised cost” categories. In addition, this template requires a maturity breakdown of on-balance sheet sovereign exposures.
The Committee welcomes feedback on both consultative documents. Comments should be uploaded here by 14 February 2020. All comments will be published on the website of the Bank for International Settlements unless the respondent specifically requests confidential treatment.