EBA欧洲银行-Public-Hearing-RTS-on-G-SIIs_for-publication_12页_655kb

EBA Summary: RTS and Guidelines on the Identification of G-SII

Core Content

The European Banking Authority (EBA) has published a public hearing document outlining the proposed Regulatory Technical Standards (RTS) and Guidelines on the identification of Global Systemically Important Institutions (G-SIIs). The document focuses on aligning the EU's approach with the Basel Committee on Banking Supervision (BCBS) methodology for identifying systemically important banks.

Main Indicators for G-SII Identification

The identification of G-SIIs is based on five equally weighted indicators, each contributing 20% to the overall score. These indicators are:

1. Size (20%)

   • Sub-indicators:
     • Total assets (6.67%)
     • Total liabilities (6.67%)
     • Securities outstanding (6.67%)

2. Interconnectedness (20%)

   • Sub-indicators:
     • Intra-financial system assets (6.67%)
     • Intra-financial system liabilities (6.67%)
     • Securities outstanding (6.67%)

3. Substitutability (20%)

   • Sub-indicators:
     • Assets under custody (6.67%)
     • Payments activity (6.67%)
     • Underwritten transactions in debt and equity markets (6.67%)

4. Complexity (20%)

   • Sub-indicators:
     • Notional amount of OTC derivatives (6.67%)
     • Level 3 assets (6.67%)
     • Trading and available-for-sale (6.67%)

5. Cross-jurisdictional activities (20%)

   • Sub-indicators:
     • Cross-jurisdictional claims (10%)
     • Cross-jurisdictional liabilities (10%)

Art. 131(2) CRD IV: General Outline of G-SII Identification Methodology

The EU legislative framework, specifically Article 131(2) of CRD IV, requires a methodology for identifying G-SIIs based on the same five categories as the BCBS methodology. However, it does not specify the sub-indicators. The methodology should:

• Use quantifiable indicators for each category.
• Assign equal weighting to all five categories.
• Produce an overall score for each institution.
• Be based on internationally agreed standards.

Draft RTS on G-SII Identification Methodology

The draft RTS is intended to replicate the BCBS methodology, with the following key points:

• Uniform sample of institutions and normalisation denominators are required to ensure consistency.
• The sample includes third country banks, aligning with the global approach.
• The identification process will occur twice in 2015, with the RTS coming into force in 2015 and the buffer requirement applying from 1 January 2016.
• The timeline for the identification process is outlined in a diagram, showing the steps from data collection to final application.
• A public consultation was initiated in December 2013, with a deadline for comments on 28 February 2014.
• The deadline for submitting the draft RTS is 30 June 2014, and the adoption by the Commission is expected not earlier than the end of 2014.

Draft ITS and Guidelines on Disclosure

The draft ITS and Guidelines address disclosure requirements for G-SIIs. Key aspects include:

• The ITS refers only to G-SILs (Global Systemically Important Institutions in the EU), which raises questions about disclosure before identification.
• Total exposure is required to identify the sample of 75 largest banks.
• Basel requires the publication of indicators for banks with total exposure exceeding 200 billion Euros.
• The disclosure set is identical to that required by Basel, ensuring alignment with international standards.
• The guidelines update instructions for completing the disclosure template, providing clarity on how to report the necessary data.

Key Information

• The identification process is designed to be consistent with BCBS standards, with no divergence expected between Basel G-SIBs and EU G-SILs for participating jurisdictions.
• There is no additional burden on institutions, as the methodology is aligned with international practices.
• The timeline for the identification process is 2015, with two rounds of assessment.
• The buffer requirement will apply from 1 January 2016, giving institutions time to adjust.
• Public consultation is ongoing, with a deadline for comments on 28 February 2014.
• The finalisation of the draft RTS is expected by the end of 2014, with adoption by the Commission following.
• The disclosure requirements are designed to be transparent and consistent, ensuring that all relevant data is made public in line with global standards.

Conclusion

The EBA aims to implement a robust and internationally aligned methodology for identifying G-SIIs, ensuring consistency, transparency, and fairness in the process. The draft RTS and ITS are designed to replicate the BCBS approach, with a clear timeline and public consultation to refine the rules before final adoption.