Annex XXVII Reporting Instructions for Identifying and Assigning G-SII Buffer Rates

1
ANNEX XXVII
REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING AND AS￾SIGNING G-SII BUFFER RATES
Table of Contents
PART I: GENERAL INSTRUCTIONS.................................................................................. 2
1. STRUCTURE AND CONVENTIONS................................................................................... 2
1.1. STRUCTURE................................................................................................................... 2
1.2. NUMBERING CONVENTION ........................................................................................... 2
1.3. SIGN CONVENTION........................................................................................................ 2
1.4. ABBREVIATIONS....................................................... ERROR! BOOKMARK NOT DEFINED.
PART II: TEMPLATE RELATED INSTRUCTIONS ......................................................... 3
1. GENERAL REMARKS ..................................................................................................... 3
2. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS...................................................... 3

2
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.1. Structure
1. This framework consists of one template capturing information on indicators of
global systemic importance and particular items needed for the application of the EU’s methodology for identifying globally systemically important institutions (G￾SIIs) and assigning corresponding G-SII buffer rates.
1.2. Numbering convention
2. The document follows the labelling convention set in points 3 to 5, when refer￾ring to the columns, rows and cells of the templates. Those numerical codes are ex￾tensively used in the validation rules.
3. The following general notation is followed in the instructions: {Template; Row;
Column}.
4. In the case of references inside a template, in which only data points of that tem￾plate are used, notations do not refer to a template: {Row; Column}. In the case of
templates with only one column, only rows are referred to {Template; Row}.
5. An asterisk sign is used to express that the reference captures the rows or col￾umns specified before.
1.3. Sign convention
6. Any amount that increases the value of the indicator, the assets, liabilities or
exposures shall be reported as a positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures shall be reported as a nega￾tive figure. Where there is a negative sign (-) preceding the label of an item, no pos￾itive figure is expected to be reported for that item.

3
PART II: TEMPLATE RELATED INSTRUCTIONS
1. General remarks
8. The template is divided into two sections. The upper section on G-SII indicators
includes the indicators for identifying globally systemically important institutions as defined in the methodology developed by the Basel Committee on Banking Supervi￾sion. The lower section contains a number of items needed to calculate the relevant indicators in accordance with the methodology defined on the basis of Arti￾cle 131(18) of Directive 2013/36/EU0F 1 .
9. Where relevant, the information provided in this template shall be consistent
with the information provided to relevant authorities for the purposes of the collec￾tion of the indicator values by relevant authorities as set out in Article 3(2) of Com￾mission Delegated Regulation (EU) No 1222/20141F 2 .
2. Instructions concerning specific positions
Row Legal references and instructions
0010 –
0130
G-SII indicators
The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commis￾sion Delegated Regulation (EU) No 1222/2014. In case of changes to the methodolgy, the same methodology applicable for determing the indicators values as of the end of the financial year (‘year-end methodology’) shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year. Where the template of Annex XXVI is subject to amendments in the course of the financial year in question, the year-end methodology shall be applied from the first applicable reference dates after the entry into force of the amending Reg￾ulation. Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable. 0010 Total exposures, including insurance subsidiaries 0020 Intra-financial system assets, including insurance subsidiaries 0030 Intra-financial system liabilities, including insurance subsidiaries 1 Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176 27.6.2013, p. 338). 2 Commission Delegated Regulation (EU) No 1222/2014 of 8 October 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the methodology for the identification of global systemically important institutions and for the definition of subcategories of global systemically important institutions (OJ L 330, 15.11.2014, p. 27–36)

4
0040 Securities outstanding, including securities issued by insurance subsidi￾aries 0050 Payments activity 0060 Assets under custody 0070 Underwriting activity 0081 Trading volume – fixed income 0085 Trading volume – equities and other securities 0090 Notional amount of OTC derivatives, including insurance subsidiaries 0100 Trading and AFS securities 0110 Level 3 assets, including insurance subsidiaries 0120 Cross-jurisdictional claims 0130 Cross-jurisdictional liabilities 0140 – 0160 Items considering the European Banking Union as a single jurisdiction For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts ap￾plied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics. By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council2F 3 shall be excluded, i.e. the Par￾ticipating Member States shall be considered as one single jurisdiction. 0140 Total foreign claims on an ultimate risk basis Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in de￾rivative contracts shall be excluded. ‘Claims’, ‘cross-border claims’, ‘local claims of foreign affiliates in foreign and local currency’ shall have the same meaning as defined in the Guidelines for reporting the BIS international bank￾ing statistics. ‘On an ultimate risk basis’ shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the pri￾mary counterparty if that party fails to perform, where such a third party ex￾ists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international bank￾ing statistics. 0150 Foreign derivatives claims on an ultimate risk basis 3 Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).

5
The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency. Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes pur￾chased credit derivatives that hedge or offset credit protection sold or are held for trading purposes. In case of such purchased credit derivatives, the value shall not be capped at the value of the immediate claim it was purchased to guarantee. The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a posi￾tive value shall be included in this item. The derivative claims shall be reported gross of any cash collateral. For the purposes of reporting information on an ultimate risk basis, the fol￾lowing shall apply:
a) When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdic￾tion. b) When the final risk lies with the guarantor, a derivative is considered for￾eign if the guarantor is not in the reporting entities’ home jurisdiction. 0160 Foreign liabilities on an immediate risk basis, including derivatives Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item. The definition of derivatives shall be the same as applied for row 0150. The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash). ‘On an immediate risk basis’ shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract.