Basel Committee on Banking Supervision Consults on Pillar 3 Disclosure Requirements for Market Risk and Sovereign Exposures

The Basel Committee on Banking Supervision has opened two consultations on revisions to the Basel III Pillar 3 disclosure requirements, one related to market risk disclosures and one on sovereign exposures disclosures. Responses to both consultations should be submitted by February 14, 2020. No indication is given as to when the sovereign exposure disclosure requirements might be introduced. The Basel Committee intends to publish the revisions of the market risk disclosure requirements in time for implementation of the revisions by member jurisdictions by no later than January 1, 2022.

The Basel Committee is proposing changes to the market risk disclosure requirements to accommodate the impact of the revisions to the market risk framework that were published in January 2019. In particular, the changes to the market risk disclosure rules will take into account the introduction of the:

1. "Traffic light" system for capital requirements resulting from the profit and loss attribution test for banks that use the internal models approach; and
2. Simplified standardized approach for banks with less complex trading portfolios.

In addition, the Basel Committee is proposing some other changes to enhance the market risk disclosure framework.

The Basel Committee is also proposing to introduce disclosure requirements for sovereign risk. In 2017, the Basel Committee consulted on potential changes to the regulatory treatment of sovereign risk, which included introducing disclosure requirements. The Basel Committee has not yet decided whether to introduce any changes. The Basel Committee is now consulting on the introduction of requirements for banks to disclose their sovereign exposures and risk-weighted assets by jurisdictional breakdown, by currency breakdown, and according to the accounting classification of the exposures. The proposed templates for disclosure are somewhat different to the 2017 proposals. As the Basel Committee has not reached consensus on the point, it would be voluntary for each jurisdiction to implement the proposed requirements.

View the consultation paper on revised disclosure requirements for market risk.

View details of the finalized market risk framework.

View the consultation paper on revised disclosure requirements for sovereign exposures.

View details of the Basel Committee's 2017 discussion paper on the regulatory treatment of sovereign exposures.

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