The Basel Committee on Banking Supervision 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 Basel Committees standards 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 2016.
The European Banking Authority (EBA) has adopted the abovementioned methodology for identifying and scoring Global Systemically Important Institutions (G-SIIs) through Article 131 of the Capital Requirements Directive (CRD). The CRD requires G-SIIs to hold a capital buffer in order to contain the risks they pose to the financial system and the impact their potential failure may have on sovereign finance and taxpayers.
Further, the Capital Requirements Regulation (CRR), Article 441, requires banks to disclose the indicator values resulting from the CRD methodology. The EBA has issued Implementing Technical Standards (ITS) detailing the formats and dates for disclosures, implemented by No 1030/2014 Commission implementing regulation. The implementation was amended early in 2016 in order to align with Basel Committee Standards and has up to this date not been published in the Official Journal.
The first table details the 12 indicators used in Basel’s assessment methodology for G-SIBs, while the second table details the G-SII indicators according to the proposed EBA ITS. 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 2015. In applying the assessment methodology to calculate banks scores, the remaining indicators are converted to euro using the exchange rate applicable on 31 December 2015.
The precise definitions of the indicators can be found in the standards and the 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 specific instructions by the BCBS 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.
G-SIB Indicator-based measurement approach mEUR
As per 31 December 2015
|Category (and weighting)||Individual indicator||Indicator weighting||2015-12-31|
|Cross-jurisdictional activity (20%)||Cross-jurisdictional claims||10%||394,944|
|Size (20%)||Total exposures as defined for use in the Basel III leverage ratio||20%||574,301
|Interconnectedness (20%)||Intra-financial system assets||6,67%||98,493|
|Intra-financial system liabilities||6,67%||50,284|
|Substitutability/financial institution infrastructure (20%)||Assets under custody||6,67%||683,000|
|Underwritten transactions in debt and equity markets||6,67%||55,821|
|Complexity (20%)||Notional amount of over-the-counter (OTC) derivatives||6,67%||7,211,442|
|Level 3 assets||6,67%||2,606|
|Trading and available-for-sale securities||6,67%|
All figures reported in EURm