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Revisions to market risk disclosure requirements sets out a set of adjustments to the Pillar 3 templates for the revised market risk framework to reflect changes introduced in Minimum capital requirements for market risk in January 2019. In addition to these changes, the Committee proposes to enhance disclosure of the trading desk structure of banks using the internal models approach by reinforcing a materiality threshold to determine the scope of individual trading desks subject to the requirement.
The consultative document Voluntary disclosure of sovereign exposures proposes disclosures related to banks' exposures to sovereigns, to be implemented when required by the relevant jurisdiction. The templates break down a bank's sovereign exposures by country, currency and accounting treatment. The templates build upon the contents of the Committee's December 2017 discussion paper on the regulatory treatment of sovereign exposures and the feedback received.
The Committee welcomes feedback on both consultative documents. Comments should be uploaded by 14 February 2020.
Consultation paper - Revisions to market risk disclosure requirements - on BIS
Consultation paper - Voluntary disclosure of sovereign exposures - on BIS