EBA欧洲银行-End-2017-G-SIB-assessment-instructions-28BCBS-2019-01-2229_56页_992kb

Basel Committee on Banking Supervision - End-2018 G-SIB Assessment Exercise Summary

Introduction

The Basel Committee on Banking Supervision (BCBS) conducts this data collection exercise to support the methodology for assessing the systemic importance of global systemically important banks (G-SIBs). This methodology, outlined in the July 2018 document, is part of the Financial Stability Board's initiative in response to the G20's call for a combined quantitative and qualitative assessment framework for global financial institutions.

The exercise aims to ensure high-quality data for the identification of G-SIBs, using a standardized reporting template and built-in consistency checks. The data collected must be consistent with the Basel III leverage ratio framework and public disclosure requirements.

General Information

Scope of Consolidation and Data Quality

• All offices within the consolidated reporting group must be reported on a consolidated basis.
• Consolidation should be done on a line-by-line basis unless otherwise specified.
• Intercompany transactions and balances must be eliminated.
• Group data should be reported using regulatory consolidation, excluding non-banking activities unless included in the regulatory consolidation.

Data Entry and Reporting

• Banks must use the latest version of the workbook provided by their supervisory authority.
• Yellow cells are mandatory, green cells are either best-efforts or optional comments, and red cells are filled by supervisory authorities.
• Data must be entered only in yellow and green cells; modifications outside these cells may affect workbook functionality.

Automated Checks

• Automated checks ensure data consistency and correct format.
• Negative values are not allowed in most cells, except for specific items.
• Text entries (e.g., "n/a") are not permitted in data cells.
• Cells with zero values must be marked as "Confirmed zero" in the remarks column.
• Logical errors in data will be flagged by the checks column, e.g., item 3.c.(5) must be greater than or equal to 3.c.(6).

Estimated Values and Zeros

• Estimated values should be indicated in the remarks column with "Estimated value" and a short explanation.
• Zero values are allowed only when the activity is truly zero, and the remarks column must be set to "Confirmed zero".

Reporting Currency and Unit

• The reporting currency is determined by the supervisory authority and should remain consistent across exercises.
• Banks must specify the reporting unit (1, 1,000, or 1,000,000) and use it consistently throughout the workbook.
• All values should be reported as integers.

Confidentiality

• The Committee does not collect data directly from banks.
• Raw data will be treated as confidential and shared only with a small working group.
• Publicly disclosed 12 indicator values and bank names may be shared more widely.

Comments and Questions

• Comments on each item can be provided in the comments column.
• Additional comments can be included in a separate document if needed.
• Banks should direct any questions to the relevant supervisory authority, which may coordinate with the Committee's Secretariat for consistent responses.

Reporting Date and Year

• Data should relate to the financial year-end closest to end-December 2018.
• For banks with a financial year-end on 30 June, data can be based on end-December 2018 (interim data).
• The reporting year is defined as the twelve months immediately preceding the reporting date.
• If a reporting group merged during the reporting year, combined flow data should be reported.

Structure of the Excel Template

• The workbook contains a single worksheet for data input.
• A summary section at the end details overall indicator values.
• Unique data identifiers are provided in Column F, consisting of a four-digit series and a four-digit item number.
• These identifiers remain consistent across reporting periods even as line items change.

Changes Relative to the End-2017 Exercise

Items Added

• Section 16: Size Items

  • Insurance subsidiaries: total exposures already included in prudential regulatory scope of consolidation (Item 16.f).

• Section 18: Substitutability/Financial Infrastructure Items

  • Payments made in the reporting year (excluding intragroup payments):
    • Payments to central banks (Item 18.l)
    • Transactions related to central bank operations (Item 18.l.(1))
    • Payments related to the purchase of sovereign debt (Item 18.l.(2))
    • Other transactions to central banks (Item 18.l.(3))

• Section 19: Complexity Items

  • Assets valued using Level 2 measurement inputs (Item 19.g)
  • Level 2 assets including insurance subsidiaries (Item 19.h)
  • Average value of Level 3 assets (Item 19.i)
  • Average value of Level 2 assets (Item 19.j)

• Section 20: Cross-Jurisdictional Activity Items

  • Total net local positions in local currency (if net positive) (Item 20.n)
  • Total net local positions in local currency (if net negative) (Item 20.o)
  • Total net local positions in non-EA countries (if net positive) (Item 20.p)
  • Total net local positions in non-EA countries (if net negative) (Item 20.q)
  • Total net local positions in EA countries (Item 20.r)

Items Removed

• Section 18: Substitutability/Financial Infrastructure Items
  • Payments made in the reporting year (excluding intragroup payments) including central bank reserve accounts payments (formerly Item 18.l)

The Data Worksheet

General Bank Data

• Item 1.a: General information provided by the supervisory authority
• Item 1.b: General information provided by the reporting institution
  • Reporting unit (ones, thousands, millions)
  • Accounting standard (e.g., IFRS, US GAAP)
  • Date of public disclosure
  • Language of public disclosure
  • Web address of public disclosure (must be specific, e.g., exact page of a report)

Size Indicator

• The size indicator reflects the total exposures (prior to regulatory adjustments) as defined in the Basel III leverage ratio (January 2014).
• Excludes national implementation deviations from Basel III.
• Includes all positions, regardless of whether they are in the trading or banking book.

Section 2: Total Exposures

• Item 2.a: Derivatives

  • Counterparty exposure of derivatives contracts (Item 2.a.(1))
    • Based on Basel II netting standards, not accounting rules
    • Collateral received (cash or non-cash) should not be netted against the net derivatives position
    • If not covered under a qualifying netting agreement, report on a gross basis
  • Capped notional amount of credit derivatives (Item 2.a.(2))
    • Effective notional amount multiplied by the effective multiplier
    • Sold credit protection capped at the maximum potential loss
  • Potential future exposure of derivative contracts (Item 2.a.(3))
    • Calculated using the current exposure method and Basel II netting standards
    • Add-on for credit derivatives calculated according to Basel II paragraph 707
    • Net replacement cost of collateral should not consider the netting of collateral received

• Item 2.b: Securities Financing Transactions (SFTs)

  • Adjusted gross value of SFTs (Item 2.b.(1))
    • Reported as gross values, net of specific provisions and valuation adjustments
    • Excludes SFT agent transactions eligible for exceptional treatment
  • Counterparty exposure of SFTs (Item 2.b.(2))
    • Calculated as total fair value of securities and cash lent to counterparties, less cash and securities received
    • Floored at zero if no qualifying netting agreement is in place

• Item 2.c: Other assets

  • Any on-balance sheet assets not specifically identified in previous sections
  • Includes accounting receivables for cash variation margin, liquidity coverage ratio assets, etc.

• Item 2.d: Gross notional amount of off-balance-sheet items

  • Items subject to 0%, 20%, 50%, or 100% credit conversion factors (CCF)
    • 0% CCF: unconditionally cancellable commitments
    • 20% CCF: commitments with automatic cancellation due to credit deterioration
    • 50% CCF: liquidity facilities and other commitments to securitizations
    • 100% CCF: other off-balance-sheet items not covered by the above

• Item 2.e: Regulatory adjustments

  • Reflects adjustments to tier 1 and CET1 capital under the fully phased-in Basel III framework
  • Adjustments that reduce tier 1 capital should be reported as positive values
  • Adjustments that increase tier 1 capital should be reported with a minus sign

• Item 2.f: Total exposures indicator

  • Calculated as the sum of items 2.a.(1) through 2.c, plus 0.1×2.d.(1), 0.2×2.d.(2), 0.5×2.d.(3), and 1×2.d.(4)
  • Regulatory adjustments (Item 2.e) are not removed from the indicator

Interconnectedness Indicators

• Financial institutions include banks, deposit-taking institutions, insurance companies, mutual funds, etc., excluding central banks and stock exchanges
• Transactions with other financial institutions should be reported based on the immediate counterparty
• Sections 3 and 4 capture intra-financial system activity
• Section 5 captures securities issued by the bank

Substitutability/Financial Infrastructure Indicators

• Section 6: Payments Activity
  • Payments made in the reporting year (excluding intragroup payments)
• Section 7: Assets Under Custody
  • Assets held in custody by the bank
• Section 8: Underwritten Transactions in Debt and Equity Markets
  • Underwritten transactions in debt and equity markets

Complexity Indicators

• Section 9: Notional Amount of OTC Derivatives
  • Notional amount of over-the-counter (OTC) derivatives
• Section 10: Trading and Available-for-Sale Securities
  • Trading and available-for-sale securities
• Section 11: Level 3 Assets
  • Average value of Level 3 assets

Cross-Jurisdictional Activity Indicators

• Section 12: Cross-Jurisdictional Claims
  • Claims made by the bank to entities outside its jurisdiction
• Section 13: Cross-Jurisdictional Liabilities
  • Liabilities of the bank to entities outside its jurisdiction

Ancillary Indicators

• Section 14: Ancillary Indicators
  • Additional indicators for further analysis
• Section 15: Ancillary Items
  • Ancillary data items for supporting information

Memorandum Items

• Section 16: Size Items
  • Insurance subsidiaries: total exposures
• Section 17: Interconnectedness Items
  • Intra-financial system assets
• Section 18: Substitutability/Financial Infrastructure Items
  • Payments to central banks, transactions related to central bank operations, etc.
• Section 19: Complexity Items
  • Level 2 and Level 3 assets
• Section 20: Cross-Jurisdictional Activity Items
  • Net local positions in different jurisdictions
• Section 21: Short-term Funding Items
  • Short-term funding activities
• Section 22: Ancillary Items
  • Additional supporting data items

Checks Summary

• Automated checks ensure data consistency and format
• Items with errors or inconsistencies will be flagged in the "Checks" column
• Specific messages will be displayed for incorrect data entries, such as negative values or text in data cells

Appendices

• Appendix 1 to 7 provide additional details on the cross-references to the Basel III framework, data definitions, and interpretation of the built-in checks.