G-SIB: Systematic importance indicators

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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 standardsOpens new window 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 2015.

The following table details the 12 indicators used in the assessment methodology. 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 2014. In applying the assessment methodology to calculate banks scores, the remaining indicators are converted to euro using the exchange rate applicable on 31 December 2014.

The precise definitions of the indicators can be found in the standards and the instructionsOpens new window 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.

Indicator-based measurement approach mEUR

As per 31 December 2014

Category (and weighting)Individual indicatorIndicator weighting2014-12-31
Cross-jurisdictional activity (20%)Cross-jurisdictional claims10%395,086
Cross-jurisdictional liabilities10%393,005
Size (20%)Total exposures as defined for use in the Basel III leverage ratio20%654,515
Interconnectedness (20%)Intra-financial system assets6,67%105,788
Intra-financial system liabilities6,67%60,002
Securities outstanding6,67%241,255
Substitutability/financial institution infrastructure (20%)Assets under custody6,67%614,800
Payments activity6,67%29,011,786
Underwritten transactions in debt and equity markets6,67%53,975
Complexity (20%)Notional amount of over-the-counter (OTC) derivatives6,67%6,375,089
Level 3 assets6,67%2,764
Trading and available-for-sale securities6,67%39,204