G-SIB/G-SII: 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 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 2017.

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 2016. In applying the assessment methodology to calculate banks scores, the remaining indicators are converted to euro using the exchange rate applicable on 31 December 2016.

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 2016

 
 

Category (and weighting)Individual indicatorIndicator weighting2016-12-31
Cross-jurisdictional activity (20%)Cross-jurisdictional claims10%357,942
Cross-jurisdictional liabilities10%344,864
Size (20%)Total exposures as defined for use in the Basel III leverage ratio20%558,586 
Interconnectedness (20%)Intra-financial system assets6,67%90,235
Intra-financial system liabilities6,67%42,957
Securities outstanding6,67%245,041
Substitutability/financial institution infrastructure (20%) 
Assets under custody6,67%711,000
Payments activity6,67%34,814,323
Underwritten transactions in debt and equity markets6,67%59,404
Complexity (20%)Notional amount of over-the-counter (OTC) derivatives6,67%6,779,147
Level 3 assets6,67%2,470
Trading and available-for-sale securities6,67%

21,545

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
SE
(2) Bank name
Nordea
(3) Reporting date (yyyy-mm-dd)
2016-12-31
(4) Reporting currency
EUR
b. General information provided by the reporting instiution:

(1) Reporting unit
1 000 000
(2) Accounting Standard
IFRS
(3) Date of public disclosure (yyyy-mm-dd)
2017-04-28
(4) Language of public disclosure
EN
(5) Web address of public disclosure
www.nordea.com/gsib
Size indicator

Section 2: Total Exposure
€ 558 586 
Interconnectedness Indicators

Section 3: Intra-Financial System Assests
€ 90 235 
Section 4: Intra-Financial System Liabilities
€ 42 957 
Section 5: Securities Outstanding
€ 245 041 
Substitutable/Financial Instiution Infrastructure Indicators

Section 6: Payments made in the reporting year (excluding intragroup payments)
€ 34 814 323 
Section 7: Assets Under Custody:
€ 711 000
Section 8: Underwritten Transactions in Debt and Equity Markets
€ 59 404 
Complexity Indicators

Section 9: Notional Amount of Over-the-Count (OTC) Derivatives
€ 6 779 147 
Section 10: Trading and Available-for-Sale Securities
€ 21 545 
Section 11: Level 3 Assets
€ 2 470 
Cross-Jurisdictional Activity Indicators
Section 12: Cross-Jurisdictional Claims€ 357 942
Section 13: Cross-Jurisdictional Liabilities
€ 344 864