Final report on Guidelines on G-SII identification

EBA/GL/2016/01
13 January 2016
Final Report
Revised guidelines on the further specification of the indicators of global systemic importance and their disclosure

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
1. Contents
1. Contents 2
2. Executive Summary 3
3. Revised guidelines on the further specification of the indicators of global systemic
importance and their disclosure 5
Annex 8
4. Accompanying documents 16
4.1 Cost-benefit analysis/impact assessment 16
4.2 Feedback on the public consultation 16

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
2. Executive Summary
The EBA methodology for identifying global systemically important institutions (G-SIIs) closely follows the approach of the Basel Committee on Banking Supervision (BCBS) for identifying global systemically important banks (G-SIBs, in BCBS terminology). The lists of EU G-SIBs identified by the BCBS and of G-SIIs identified by Member States’ authorities are identical. In January 2016 the BCBS published a new data template with minor revisions for the 2016 identification exercise, based on end-2015 business year data. As a consequence, the Commission Delegated Regulation (EU) No 1222/2014 on the identification methodology and the Commission Implementing Regulation (EU) No 1030/2014 on disclosure, which contained a data template, have been updated. For practical reasons, the full data template with the detailed specification of the indicator values will now only be incorporated in the guidelines. The instructions for institutions on how to complete the template will be published on the EBA website. Next steps The amending draft RTS and the amending draft ITS will be submitted to the Commission for endorsement, following which the amending draft RTS will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union. The guidelines will be translated into the official EU languages and published on the EBA website. The deadline for competent authorities to report whether they comply with the guidelines will be two months after the publication of the translations. Background and rationale The Commission Delegated Regulation (EU) No 1222/2014 and the amending draft RTS on the methodology for the identification of G-SIIs set out a list of indicators to be used for identifying G-SIIs. The further specification is left to the relevant authorities and is to be updated every year in accordance with international standards. To ensure convergent practice and uniform underlying values, the further specification of the indicators is harmonised in these guidelines. Uniform and meaningful disclosure requirements are necessary to guarantee fair competition between comparable groups of institutions and to ensure greater convergence of supervisory practices and the accurate assessment of risks across the EU. They improve data quality and strengthen market discipline. With this in mind, G-SIIs should be subject not only to additional capital requirements, but also to greater public scrutiny than average institutions. These disclosure requirements should apply not only to institutions that have already been identified as G-SIIs, but also to other large entities that have an overall exposure exceeding EUR 200 billion, which fall within the scope of Article 131(1) of Directive 2013/36/EU, as they also constitute a potentially significant threat to financial stability. The guidelines go beyond the requirements of the regulation, which only addresses G-SIIs, and also aim to enable Member State
authorities to perform the identification and scoring process and disclosure, in particular before any G-SIIs have been identified. The guidelines are addressed to both competent authorities and institutions.

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS) To ensure comparability in order to facilitate the work of Member States’ authorities, as well as scrutiny by the public at large, and to achieve the aim of improving data quality and strengthening market discipline, the means of disclosure should also be uniform. Therefore the guidelines go beyond Article 434 of the regulation and state that all institutions subject to the disclosure requirements should disclose the data concerned in electronic form on their websites. Detailed instructions on how to complete the templates have been included in the guidelines. Further questions of institution should be discussed with the relevant competent authority. The bundle of Commission Delegated Regulation (EU) No 1222/2014 and the amending RTS on the identification methodology for G-SIIs, Commission Implementing Regulation (EU) No 1030/2014 and the amending ITS on disclosure and these guidelines will be under ongoing review, as the BCBS identification process provides for regular reviews of the identification methodology every three years.

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
3. Revised guidelines on the further
specification of the indicators of global systemic importance and their disclosure Status of these guidelines This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (‘the EBA Regulation’). In accordance with Article 16(3) of the EBA Regulation, competent authorities and financial institutions must make every effort to comply with the guidelines. Guidelines set out the EBA’s view of appropriate supervisory practices within the European System of Financial Supervision or of how Union law should be applied in a particular area. The EBA therefore expects all competent authorities and financial institutions to whom guidelines are addressed to comply with guidelines. Competent authorities to whom guidelines apply should comply by incorporating them into their supervisory practices as appropriate (e.g. by amending their legal framework or their supervisory processes), including where guidelines are directed primarily at institutions. Reporting requirements According to Article 16(3) of the EBA Regulation, competent authorities must notify the EBA as to whether they comply or intend to comply with these guidelines, or otherwise with reasons for non￾compliance, by […]. In the absence of any notification by this deadline, competent authorities will be considered by the EBA to be non-compliant. Notifications should be sent by submitting the form provided at Section 5 to compliance@eba.europa.eu with the reference ‘EBA/GL/201x/xx’. Notifications should be submitted by persons with appropriate authority to report compliance on behalf of their competent authorities. Notifications will be published on the EBA website, in line with Article 16(3).

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS) Title I – Subject matter, scope and definitions

1. The Guidelines relate to
   (a) the specification of the indicators (‘indicators’) for the year 2016 set out in Regulation (EU) No 1222/2014 as amended; and (b) the reporting of the data (indicators and ancillary data used for the identification of G-SIIs) and the annual disclosure of the values of the indicators.
2. The guidelines apply to (i) EU parent institutions, EU parent financial holding companies, EU parent
   mixed financial holding companies and institutions that are not subsidiaries of an EU parent institution or EU parent financial holding company or EU parent mixed financial holding company (relevant entities) which observe a leverage ratio exposure measure exceeding EUR 200 billion using an adequate exchange rate, which takes into account the reference exchange rate published by the European Central Bank applicable at the financial year end and international standards, and (ii) competent authorities within the meaning of point (40) of Article 4(1) of Regulation (EU) No 575/2013, including the European Central Bank with regard to matters relating to the tasks conferred on it by Regulation (EU) No 1024/2013. Title II – Specification of the data for the identification of G-SIIs
3. When determining the scores of relevant entities on the basis of the indicators, relevant authorities
   should apply the specifications of the data in the annex to these guidelines. When reporting the data, relevant entities should follow the instructions published on the EBA website.
4. Competent authorities should apply the ancillary data (Sections 14 and 15 of the annex) to support
   their supervisory judgement in accordance with Article 5(6) of Regulation (EU) No 1222/2014 as amended and, on a best efforts basis, the memorandum items (Sections 16 to 20 of the annex) to improve the data quality and to help in developing future improvements to the identification methodology. The memorandum items should be complemented by comments regarding data quality and availability where appropriate. Title III – Requirements regarding disclosure by institutions
5. The competent authorities should ensure that the relevant entities report to relevant authorities the
   data (indicators and ancillary data) and publicly disclose the data and indicator values under Sections 1 to 13 of the annex on an annual basis and in accordance with the identification methodology referred to in Article 131 of Directive 2013/36/EU.
6. The competent authorities should ensure that the disclosure is made using the electronic template
   published for this purpose on the EBA website in accordance with the implementing technical standards adopted pursuant to Article 441 of Regulation (EU) No 575/2013 and with the annex to these guidelines. The relevant entities should publicly disclose the financial year-end information no later than four months after each financial year-end. The competent authorities may allow relevant entities whose financial year-end does not coincide with 31 December to report indicator values based on their position closer to 31 December. In any case, disclosure of the information should occur no later than 31 July.

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
7. The competent authorities should ensure that the data are identical to those
submitted to the Basel Committee on Banking Supervision, where applicable.
Title IV – Communication of disclosed values of indicators
8. The relevant entities should publish their individual templates on their websites. Insofar as possible,
these templates should also be included in the document containing information requested as specified in Part Eight of Regulation (EU) No 575/2013, or a reference should be made in this document to the website where the templates are disclosed.
9. The competent authorities should provide the EBA with the values of the data, including ancillary data,
when they are publicly disclosed in the format required by the implementing technical standards adopted pursuant to Article 441 of Regulation (EU) No 575/2013 for centralisation purposes on the EBA website. The EBA will not disclose the ancillary data. Title V – Final provisions and implementation
10. These guidelines apply the day after their publication in all EU languages.
11. The Guidelines on disclosure of indicators of global systemic importance of 5 June 2014
(EBA/GL/2014/02) are hereby repealed.

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
Annex
Template
General Bank Data
Section 1 - General Information Response
a. General information provided by the relevant supervisory authority:
(1) Country code
(2) Bank name
(3) Reporting date (yyyy-mm-dd)
(4) Reporting currency
(5) Euro conversion rate
(6) Submission date (yyyy-mm-dd) b. General information provided by the reporting institution:
(1) Reporting unit
(2) Accounting standard
(3) Date of public disclosure (yyyy-mm-dd)
(4) Language of public disclosure
(5) Web address of public disclosure
Size Indicators
Section 2 - Total Exposures Amount
a. Derivatives
(1) Counterparty exposure of derivatives contracts (2) Capped notional amount of credit derivatives (3) Potential future exposure of derivatives contracts b. Securities financing transactions (SFTs) (1) Adjusted gross value of SFTs (2) Counterparty exposure of SFTs
c. Other assets
d. Gross notional amount of off-balance-sheet items (1) Items subject to a 0% credit conversion factor (CCF) (2) Items subject to a 20% CCF (3) Items subject to a 50% CCF (4) Items subject to a 100% CCF e. Regulatory adjustments f. Total exposures indicator (total exposures prior to regulatory adjustments) (sum of items 2.a.(1) through 2.c, 0.1 times 2.d.(1), 0.2 times 2.d.(2), 0.5 times 2.d.(3), and 2.d.(4)) Interconnectedness Indicators

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
Section 3 - Intra-Financial System Assets Amount
a. Funds deposited with or lent to other financial institutions (1) Certificates of deposit b. Unused portion of committed lines extended to other financial institutions
c. Holdings of securities issued by other financial institutions:
(1) Secured debt securities
(2) Senior unsecured debt securities
(3) Subordinated debt securities
(4) Commercial paper
(5) Equity securities
(6) Offsetting short positions in relation to the specific equity securities included in item 3.c.(5) d. Net positive current exposure of securities financing transactions with other financial institutions e. Over-the-counter derivatives with other financial institutions that have a net positive fair value:
(1) Net positive fair value
(2) Potential future exposure f. Intra-financial system assets indicator (sum of items 3.a, 3.b through 3.c.(5), 3.d, 3.e.(1), and 3.e.(2), minus 3.c.(6))
Section 4 - Intra-Financial System Liabilities Amount
a. Funds deposited by or borrowed from other financial institutions (1) Deposits due to depository institutions (2) Deposits due to non-depository financial institutions (3) Loans obtained from other financial institutions b. Unused portion of committed lines obtained from other financial institutions
c. Net negative current exposure of securities financing transactions with
other financial institutions d. Over-the-counter derivatives with other financial institutions that have a net negative fair value:
(1) Net negative fair value
(2) Potential future exposure e. Intra-financial system liabilities indicator (sum of items 4.a.(1) through 4.d.(2))
Section 5 - Securities Outstanding Amount
a. Secured debt securities b. Senior unsecured debt securities
c. Subordinated debt securities
d. Commercial paper e. Certificates of deposit f. Common equity g. Preferred shares and any other forms of subordinated funding not captured

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS) in item 5.c. h. Securities outstanding indicator (sum of items 5.a through 5.g) Substitutability/Financial Institution Infrastructure Indicators
Section 6 - Payments made in the reporting year (excluding intragroup
payments) Amount a. Australian dollars (AUD) b. Brazilian reais (BRL)
c. Canadian dollars (CAD)
d. Swiss francs (CHF) e. Chinese yuan (CNY) f. Euros (EUR) g. Pounds sterling (GBP) h. Hong Kong dollars (HKD)
i. Indian rupees (INR)
j. Japanese yen (JPY) k. Swedish kronor (SEK)
l. United States dollars (USD)
m. Payments activity indicator (sum of items 6.a through 6.l)
Section 7 - Assets Under Custody Amount
a. Assets under custody indicator
Section 8 - Underwritten Transactions in Debt and Equity Markets Amount
a. Equity underwriting activity b. Debt underwriting activity
c. Underwriting activity indicator (sum of items 8.a and 8.b)
Complexity Indicators
Section 9 - Notional Amount of Over-the-Counter (OTC) Derivatives Amount
a. OTC derivatives cleared through a central counterparty b. OTC derivatives settled bilaterally
c. OTC derivatives indicator (sum of items 9.a and 9.b)
Section 10 - Trading and Available-for-Sale Securities Amount
a. Held-for-trading (HFT) securities b. Available-for-sale (AFS) securities
c. Trading and AFS securities that meet the definition of Level 1 assets
d. Trading and AFS securities that meet the definition of Level 2 assets, with

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS) haircuts e. Trading and AFS securities indicator (sum of items 10.a and 10.b, minus the sum of 10.c and 10.d)
Section 11 - Level 3 Assets Amount
a. Level 3 assets indicator (assets valued for accounting purposes using Level 3 measurement inputs) Cross-Jurisdictional Activity Indicators
Section 12 - Cross-Jurisdictional Claims Amount
a. Cross-jurisdictional claims indicator (total foreign claims on an ultimate risk basis)
Section 13 - Cross-Jurisdictional Liabilities Amount
a. Foreign liabilities (excluding derivatives and local liabilities in local currency) (1) Any foreign liabilities to related offices included in item 13.a b. Local liabilities in local currency (excluding derivatives activity)
c. Cross-jurisdictional liabilities indicator (sum of items 13.a and 13.b, minus
13.a.(1))
Ancillary Data
Section 14 - Ancillary Indicators Amount
a. Total liabilities b. Retail funding
c. Wholesale funding dependence ratio (the difference between items 14.a
and 14.b, divided by 14.a) d. Total gross revenue e. Total net revenue f. Foreign net revenue g. Gross value of cash provided and gross fair value of securities provided in SFTs h. Gross value of cash borrowed and gross fair value of securities borrowed in SFTs
i. Gross positive fair value of over-the-counter (OTC) derivatives transactions
j. Gross negative fair value of OTC derivatives transactions Amount in single units k. Number of jurisdictions

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
Section 15 - Ancillary Items Amount
e. Held-to-maturity securities f. Payments made in the reporting year (1) Mexican pesos (MXN) (2) New Zealand dollars (NZD) (3) Russian roubles (RUB) Memorandum Items
Section 16 - Size Items Amount
a. Account value for variable insurance products with minimum guarantees, gross of reinsurance b. Account value for variable insurance products with minimum guarantees, net of reinsurance
c. Total exposures, including insurance subsidiaries
d. Exposures of insurance subsidiaries:
(1). On-balance-sheet insurance assets
(2) Potential future exposure of derivatives contracts for insurance subsidiaries (3) Unconditionally cancellable commitments for insurance subsidiaries (4) Other off-balance-sheet commitments for insurance subsidiaries (5) Investment value in consolidated entities
Section 17 - Interconnectedness Items Amount
a. Book value of equities for which a market price is unavailable b. Certificates of mutual banks issued
c. Minority interest
d. Interconnectedness with institutions that are strictly securities brokers, assets e. Interconnectedness with institutions that are strictly securities brokers, liabilities f. Standby letters of credit extended to other financial institutions g. Standby letters of credit obtained from other financial institutions h. Net positive current exposure of SFTs with other financial institutions (revised definition)
i. Net negative current exposure of SFTs with other financial institutions
(revised definition) j. Intra-financial system assets, including insurance subsidiaries (1) Funds deposited with or lent to other financial institutions (2) Unused portion of committed lines extended to other financial institutions (3) Holdings of securities issued by other financial institutions (4) Net positive current exposure of SFTs with other financial institutions (5) OTC derivatives with other financial institutions that have a net positive fair value k. Intra-financial system liabilities, including insurance subsidiaries (1) Funds deposited by or borrowed from other financial institutions

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS) (2) Unused portion of committed lines obtained from other financial institutions (3) Net negative current exposure of SFTs with other financial institutions (4) OTC derivatives with other financial institutions that have a net negative fair value
l. Securities outstanding, including the securities issued by insurance
subsidiaries
Section 18 - Substitutability/Financial Infrastructure Items Amount
a. Payments made as a correspondent for other banks (1) Australian dollars (AUD) (2) Brazilian reais (BRL) (3) Canadian dollars (CAD) (4) Swiss francs (CHF) (5) Chinese yuan (CNY) (6) Euros (EUR) (7) Pounds sterling (GBP) (8) Hong Kong dollars (HKD) (9) Indian rupees (INR) (10) Japanese yen (JPY) (11) Swedish kronor (SEK) (12) United States dollars (USD) (13) Mexican pesos (MXN) (14) New Zealand dollars (NZD) (15) Russian roubles (RUB) b Trading volume of securities issued by sovereigns
c. Trading volume of securities issued by other public sector entities
d. Trading volume of other fixed income securities e. Trading volume of listed equities f. Trading volume of all other securities g. Initial margin posted to central counterparties (CCPs) on behalf of clients h. Initial margin posted to CCPs for the reporting group’s own account
i. Default fund contributions to CCPs
j. Other facilities to CCPs k. Provision of settlement services in connection with centrally cleared transactions
Section 19 - Complexity Items Amount
a. Notional amount of over-the-counter (OTC) derivatives, including insurance subsidiaries b. Trading and available-for-sale (AFS) securities, including insurance subsidiaries
c. Level 3 assets, including insurance subsidiaries
Section 20 - Cross-Jurisdictional Activity Items Amount
a. Foreign derivative claims on an ultimate risk basis b. Foreign liabilities on an immediate risk basis (including derivatives)

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS) (1) Foreign derivative liabilities on an immediate risk basis
Section 21 – Short-term Funding Items Amount
a. Secured funding captured in the liquidity coverage ratio (LCR):
(1) Funding backed by Level 1 liquid assets
(2) Funding backed by Level 2A liquid assets
(3) Funding backed by Level 2B liquid assets
(4) Funding backed by non-HQLA
(5) ABS, structured financing instruments, ABCP, conduits, SIVs and other such funding activities (6) Collateral swaps b. Unsecured wholesale funding captured in the LCR:
(1) Operational deposits from non-financial entities (2) Operational deposits from financial institutions (3) Non-operational deposits from non-financial entities (4) Non-operational deposits from financial institutions and unsecured debt issuance
c. Secured funding captured in the net stable funding ratio (NSFR):
(1) Secured funding with a maturity of less than 6 months (2) Secured funding with a maturity of between 6 months and 1 year d. Unsecured wholesale funding captured in the NSFR with a maturity of less than 6 months:
(1) Operational deposits from non-financial entities (2) Operational deposits from financial institutions (3) Non-operational deposits and non-deposit unsecured funding from non-financial entities (4) Non-operational deposits and other wholesale funding from financial institutions f. Unsecured wholesale funding captured in the NSFR with a maturity between 6 months and 1 year (1) Operational deposits from non-financial entities (2) Operational deposits from financial institutions (3) Non-operational deposits and non-deposit unsecured funding from non-financial entities (4) Non-operational deposits and other wholesale funding from financial institutions Checks Summary Indicator value in million EUR
Section 22 - Indicator Values
a. Section 2 - Total exposures indicator b. Section 3 - Intra-financial system assets indicator

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
c. Section 4 - Intra-financial system liabilities indicator
d. Section 5 - Securities outstanding indicator e. Section 6 - Payments activity indicator f. Section 7 - Assets under custody indicator g. Section 8 - Underwriting activity indicator h. Section 9 - OTC derivatives indicator
i. Section 10 - Trading and AFS securities indicator
j. Section 11 - Level 3 assets indicator k. Section 12 - Cross-jurisdictional claims indicator
l. Section 13 - Cross-jurisdictional liabilities indicator
m. Other sections
(1) Item 1.a - General information provided by the supervisory authority (2) Item 1.b - General information provided by the reporting institution (3) Section 14 - Ancillary indicators (4) Section 15 - Ancillary items (5) Section 16 - Size items (6) Section 17 - Interconnectedness items (7) Section 18 - Substitutability/financial infrastructure items (8) Section 19 - Complexity items (9) Section 20 - Cross-jurisdictional activity items (10) Section 21 - Short-term funding

FINAL REPORT ON THE GUIDELINES FOR THE IDENTIFICATION OF GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIS)
4. Accompanying documents
4.1 Cost-benefit analysis/impact assessment
The update of the data template did not involve any significant policy choices but only a redistribution of the relevant text for practical reasons, in order to cope with annual updates of the indicators. Costs and benefits for institutions and other stakeholders remain the same as under the RTS, ITS and guidelines in their original versions. Not updating the data template in the RTS and ITS would not have been a viable option, as this would not be in line with the legislative objective of taking into account international agreed standards. In addition, this option would have resulted in making reporting more complicated, in doubling the administrative burden for institutions which take part in the identification process for G-SIBs at BCBS level and in confusing information instead of enhanced transparency for the public. At the same time, the revised structure of the RTS and the guidelines helps streamline the process for future updates and consequently significantly reduces administrative costs at the level of the European authorities.
4.2 Feedback on the public consultation
The EBA publicly consulted on the draft proposal contained in this paper.
Due to the limited and merely technical nature of the amendments, the consultation period lasted for three weeks only and ended on 20 May 2015. No responses have been received.