The Basel Committee on Banking Supervision (BCBS) launched two consultations (to run until 14 February 2020) related to Pillar-3 disclosure - the first proposing a set of revised disclosure requirements related to the market-risk framework finalised in January 2019 and the second regarding voluntary disclosure templates related to banks' sovereign exposures (which could be imposed by individual jurisdictions).
The market-risk disclosure paper includes several technical adjustments to reflect the January 2019 revisions, including the introduction of a "traffic light" approach for capital requirements based on the outcome of the profit and loss attribution (PLA) test for banks using the internal models approach (IMA). The BCBS also proposes a new disclosure template for banks that use the simplified standardised approach. Views are requested on the usefulness of flow statements of risk-weighted assets (RWAs) for trading desks under the IMA and how it can be further enhanced. In addition to these changes, the BCBS proposes to enhance disclosure of the trading desk structure of IMA banks by introducing a materiality threshold for disclosure of information pertaining to individual trading desks. Banks will have to disclose information on individual trading desks with the highest standalone capital requirement that, summed together, exceed 50% of total aggregate standalone capital requirements calculated under the standardised approach.
The first template on sovereign exposures requires banks to disclose the amounts of banking-book and trading-book exposures, as well as RWAs, 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 RWAs by individual currency. The third template categorises sovereign exposures according to the applicable accounting classification, e.g., "fair value", "available for sale" and "financial assets held at amortised cost". In addition, this template requires a maturity breakdown of on-balance sheet sovereign exposures.