The Basel Committee on Banking Supervision (“BCBS”) has developed a methodology for assessing the systemic importance of Global Systemically Important Banks (“G-SIBs”). The methodology is based on an indicator-based measurement approach. The indicators are designed to reflect the different aspects of potential negative externalities of an entity’s failure and its critical functions for the stability of the financial system.
In accordance with the BCBS Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement (“BCBS methodology for G-SIBs”) banks are expected to publicly disclose information containing the following 12 indicators within four months of the financial year end or at the latest by 31 July 2019.
The European Banking Authority (EBA) has adopted the abovementioned methodology for identifying and scoring Global Systemically Important Institutions (G-SIIs) through Revised Regulatory Technical Standards (“RTS”), adopted by Commission Delegated Regulation 2016/1608, based on Article 131 of Directive 2013/36 on access to the activity of credit institutions and prudential supervision of credit institutions and investment firms (“Capital Requirements Directive” or “CRD IV”). Further, Regulation 575/2013 on prudential requirements for credit institutions and investment firms (“Capital Requirements Regulation” or “CRR”), Article 441, requires banks to disclose the indicator values resulting from the CRD methodology.
The EBA has issued Revised Implementing Technical Standards ("ITS”) detailing the formats and dates for disclosures, adopted by Commission Implementing Regulation 2016/818. Moreover, the EBA has issued Revised Guidelines on the further specification of the indicators of global systemic importance and their disclosure that requires that not only G-SIIs, but also other large banks exceeding a leverage ratio exposure of EUR 200 billion and which are potentially systematically relevant, are subject to the disclosure requirement.
Although Nordea will not be considered a G-SII as of 1 January 2020, Nordea is subject to the disclosure requirement as a large bank with a leverage ratio exposure exceeding the abovementioned threshold.
All indicators are expressed in terms of the reporting currency except for payments activity, which is expressed in euro by applying the yearly average exchange rates for 2018. In applying the assessment methodology to calculate banks scores, the remaining indicators are converted to euro using the exchange rate applicable on 31 December 2018.
The precise definitions of the indicators can be found in the BCBS methodology for G-SIBs and BCBS instructions for the end-2018 G-SIB assessment exercise (“BCBS instructions”) that the sample banks use to supply their indicator data to the data hub.
The selected indicators reflect the size of banks, their interconnectedness, the lack of readily available substitutes of financial institution infrastructure for the service they provide, their global (cross-jurisdictional) activity and their complexity.
The indicators provided below are calculated based on BCBS instructions and thus are not directly comparable against other disclosed information. It has to be noted that BCBS instructions are based on the regulatory, not the accounting consolidation circle.
Indicators required to identify G-SIIs
General Bank Data
|Section 1: General information|
|a. General information provided by the relevant supervisory authority
|(1) Country code
|(2) Bank name
|(3) Reporting date (yyyy-mm-dd)
|(4) Reporting currency
|b. General information provided by the reporting instiution
|(1) Reporting unit
|(2) Accounting Standard
|(3) Date of public disclosure (yyyy-mm-dd)
|(4) Language of public disclosure
|(5) Web address of public disclosure
|Section 2: Total exposure
|Section 3: Intra-financial system assets
|Section 4: Intra-financial system liabilities
|Section 5: Securities outstanding||6.67%||229,169|
|Substitutability/financial institution infrastructure indicators|
|Section 6: Payments made in the reporting year (excluding intragroup payments)||20%||6.67%||20,223,415|
|Section 7: Assets under custody||6.67%||743,000|
|Section 8: Underwritten transactions in debt and equity markets||6.67%||20,598|
|Section 9: Notional amount of Over-the-Counter (OTC) derivatives||20%||6.67%||6,453,355|
|Section 10: Trading and available-for-sale securities||6.67%||23,716|
|Section 11: Level 3 assets||6.67%||2,192|
|Cross-Jurisdictional Activity Indicators|
|Section 12: Cross-jurisdictional claims||20%||10%||371,221|
|Section 13: Cross-jurisdictional liabilities||10%||200,723|