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Basel Committee on Banking Supervision: End-2015 G-SIB Assessment Exercise Summary

Introduction

The Basel Committee on Banking Supervision is conducting a data collection exercise to assess the systemic importance of banks globally. This exercise is part of the methodology for identifying Global Systemically Important Banks (G-SIBs), which was outlined in the July 2013 document. The methodology is developed in response to the G20's decision to use both quantitative and qualitative indicators to evaluate the systemic importance of financial institutions.

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 during consolidation.
• Insurance and non-banking activities should only be included if they are part of the regulatory consolidation.
• Banks with a leverage ratio exposure measure exceeding 200 billion euros must publicly disclose 12 indicators within four months of the financial year end.
• If public figures are restated, a revised template must be submitted by 31 July 2016.

Data Submission and Validation

• Banks should use the latest version of the workbook provided by their supervisory authority.
• Mandatory data is in yellow cells; optional and best-efforts data are in green cells.
• Red cells are completed by supervisory authorities.
• Data must be entered only in yellow and green cells to ensure the workbook remains usable for validation and aggregation.
• The "Checks" column will highlight errors such as negative values, text in data cells, missing values, and logical inconsistencies.

Reporting Currency and Unit

• Reporting currency is determined by the supervisory authority and should remain consistent across exercises.
• Banks may request to use a different currency by contacting the supervisory authority.
• Reporting units (1, 1,000, or 1,000,000) must be consistent throughout the workbook.
• All amounts should be reported as integers.

Confidentiality and Comments

• Data will not be collected directly from banks but through supervisory authorities.
• Raw data is treated as confidential and shared with a small working group.
• Comments on data items are optional, but can be provided in the comments column or in a separate document if needed.

Changes Relative to the End-2014 Exercise

Items Updated

• Total Exposures (Section 2): Revised to reflect the January 2014 Basel Committee definition and excludes regulatory deductions.
• Payments (Section 6): Payments data is now reported directly in the reporting currency using the bank's internal exchange rates.
• Memorandum Items: Data for memorandum items must now be provided, and comments are optional.

Items Added

• Total Exposures (Section 2): Capped notional amount of credit derivatives (item 2.a.(2)) is added.
• Size Items (Section 16): Added items include account value for variable insurance products with minimum guarantees (gross and net of reinsurance) and exposures of insurance subsidiaries.
• Interconnectedness Items (Section 17): Added items include net positive/negative current exposure of SFTs with other financial institutions, interconnectedness with securities brokers, and intra-financial system assets and liabilities including insurance subsidiaries.
• Complexity Items (Section 19): Added items include notional amount of OTC derivatives, trading and available-for-sale securities, and Level 3 assets, all including insurance subsidiaries.
• Short-term Funding Items (Section 21): Added items cover various types of funding, including those backed by different liquid assets, operational and non-operational deposits, and secured funding with different maturities.

Items Removed

• Several items related to the previous reporting standards have been removed, including:
  • Securities received in SFTs that are recognised as assets
  • Total on-balance-sheet items
  • Unconditionally cancellable credit card commitments
  • Total off-balance-sheet items
  • Entities consolidated for accounting purposes only
  • Total exposures for leverage ratio (January 2014 definition)
  • Certificates of deposit in items 4.a and 4.b
  • Various items related to regulatory and accounting consolidation
  • Foreign derivative liabilities and foreign debt security liabilities on an immediate risk basis
• The average annual exchange rate section has been removed as payments data is now reported in the reporting currency directly.

The Data Worksheet

General Bank Data

• This section includes general information such as:
  • General information provided by the supervisory authority
  • Reporting unit (ones, thousands, millions)
  • Accounting standard used (e.g., IFRS, US GAAP)
  • Date of public disclosure
  • Language of public disclosure
  • Web address for public disclosure

Size Indicator

• The size indicator aligns with the total exposures value defined for the Basel III leverage ratio (January 2014).
• It includes all positions, regardless of whether they are in the trading or banking book.
• Appendix 1 provides cross-references to the Basel III reporting template.

Section 2: Total Exposures

• Item 2.a: Derivatives
  • Reports counterparty exposure of derivatives after applying Basel II netting standards.
  • Collateral received should not be netted against the (net) derivatives position.
  • The volatility adjusted collateral amount (CA) should be set to zero.
  • If a derivative transaction is not covered by a netting agreement, it should be reported on a gross basis.
• Item 2.a.(2): Capped notional amount of credit derivatives
  • Reports the effective notional amount of credit derivatives, capped at the maximum potential loss.
  • Reference names are considered the same if they meet the conditions in Basel III leverage ratio framework footnote 14.
  • Exclude credit protection that the bank clears on behalf of a clearing member client.
• Item 2.a.(3): Potential future exposure of derivative contracts
  • Reports potential future exposure using the current exposure method and Basel II netting standards.
  • Credit risk mitigation effects other than regulatory netting should not be included.
• Item 2.b.(1): Adjusted gross value of SFTs
  • Reports the adjusted gross value of SFTs (net of specific provisions and valuation adjustments).
  • Accounting netting should not be applied unless specified in paragraph 33(i) of the Basel III leverage ratio framework.
  • Exclude SFT agent transactions eligible for exceptional treatment.
• Item 2.b.(2): Counterparty exposure of SFTs
  • Reports the counterparty exposure of SFTs as the net fair value of securities and cash lent to counterparties.
  • If no netting agreement is in place, exposure must be calculated on a transaction-by-transaction basis.
  • Haircuts should not be applied when assessing the gross fair value of non-cash collateral.
  • Include agent transaction exposures.

Conclusion

The end-2015 G-SIB assessment exercise includes updated and expanded data collection requirements to better reflect the systemic importance of banks. It emphasizes data accuracy, transparency, and the use of standardized reporting practices. The exercise also introduces new indicators to capture more detailed information on exposures, interconnectedness, complexity, and short-term funding, while removing outdated items. The use of an Excel template with built-in checks and data validation mechanisms ensures consistency and reliability in the data submission process.