Guidelines on the specification and disclosure of systemic importance indicators

GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS EBA/GL/2020/14 (consolidated) 4 November 2020

• O
  Guidelines on the specification and disclosure of systemic importance indicators Application date
• O 04.11.2020
  Amended by:
• A1 EBA/GL/2023/10

GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
1. Compliance and reporting
obligations
Status of these guidelines
1. This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No
1093/2010. 1
In accordance with Article 16(3) of Regulation (EU) No 1093/2010, competent authorities and financial institutions must make every effort to comply with the guidelines.
2. 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. Competent authorities as defined in Article 4(2) of Regulation (EU) No 1093/2010 to whom guidelines apply should comply by incorporating them into their practices as appropriate (e.g. by amending their legal framework or their supervisory processes), including where guidelines are directed primarily at institutions. Reporting requirements
3. In accordance with Article 16(3) of Regulation (EU) No 1093/2010, competent authorities must
notify the EBA that they comply or intend to comply with these guidelines, or otherwise provide reasons for non‐compliance, by 16/02/2021. 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 available on the EBA website with the reference ‘EBA/GL/2020/14’. Notifications should be submitted by persons with appropriate authority to report compliance on behalf of their competent authorities. Any change in the status of compliance must also be reported to the EBA.
4. Notifications will be published on the EBA website, in line with Article 16(3).
1 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, (OJ L 331, 15.12.2010, p. 12).

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
2. Subject matter, scope and definitions
Subject matter
5. These guidelinesrelate to:
i. the specification of the indicators used for the identification of global systemically
important institutions (G‐SIIs) as set out in Regulation (EU) No 1222/2014 (‘indicators’); and
ii. the reporting of the underlying data (indicators, ancillary data and memorandum
items) and the annual disclosure of the resulting indicator values used for the identification of G‐SIIs. Scope of application
6. These guidelines apply in relation to
i. groups headed by an EU parent institution, an EU parent financial holding company or
an EU parent mixed financial holding company; and
ii. institutions that are not subsidiaries of an EU parent institution, an EU parent financial
holding company or an EU parent mixed financial holding company that observe a leverage ratio exposure measure exceeding EUR 200 billion on a consolidated or individual basis, respectively (and including insurance subsidiaries), using an adequate exchange rate that takes into account the reference exchange rate published by the European Central Bank applicable at the financial year end and international standards (‘relevant entities’). Addressees
7. These guidelines are addressed to competent authorities as defined in point (i) of Article 4(2)
of Regulation (EU) No 1093/2010 and to financial institutions in relation to which these guidelines apply. Designated authorities referred to in Article 131(1) of Directive 2013/36/EU other than competent authorities are encouraged to apply these guidelines. Both competent and designated authorities are referred to in these guidelines as ‘relevant authorities’.

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
3. Implementation
Date of application
8. These guidelines apply from 16/12/2020.
Repeal
The revised guidelines on the further specification of the indicators of global systemic importance and their disclosure of 29 February 2016 (EBA/GL/2016/01) are hereby repealed.

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
4. Specification of the underlying data
and indicators used for the identification of G‐SIIs A1
9. Relevant authorities and entities should follow the instructions and specifications for the data
items listed in the Annex as set out in the link called “Reporting instructions” on the EBA website under the G-SIIs section 5 .
10. The relevant authorities should apply the ancillary data (Sections 15 and 16 of the Annex to
these Guidelines) to support their supervisory judgement in accordance with Article 131(10) of Directive 2013/36/EU and the memorandum items (Sections 17 to 22 of the Annex) to improve data quality and to help in developing future improvements to the identification methodology. The memorandum items should be complemented with detailed comments from relevant entities regarding data quality and availability where appropriate. 10a. Pursuant to Article 131(2a) of Directive 2013/36/EU requiring an additional identification methodology that excludes cross-border activities within the Single Resolution Mechanism (SRM), and in accordance with the international agreement by the Basel Committee of 31 May 2022 to acknowledge the progress made in the development of the European Banking Union, data items relevant for the calculation of adjusted SRM cross-jurisdictional indicators concerning institutions headquartered in Member States participating in the SRM should be considered as part of the cross-jurisdictional activity indicators and, as such, disclosed in accordance with paragraph 12, and not as ancillary or memorandum items for the G-SII identification and subcategory allocation methodology. 5 https://www.eba.europa.eu/risk-analysis-and-data/global-systemically-important-institutions

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
5. Requirements regarding reporting
and disclosure by relevant institutions
O
11. The relevant authorities should ensure that they collect all data items specified in the Annex to
these Guidelines from relevant entities that meet the criteria specified in paragraph 6 of these Guidelines on 31 December of each year.
12. The relevant authorities should ensure that relevant entities publicly disclose on their websites
on an annual basis the indicator values specified in Sections 1 to 14 of the Annex to these Guidelines and, where the SRM’s additional identification methodology is needed, items e), f) and g) of Section 21, as well as any other items of Section 21 referring to SRM cross￾jurisdictional activity which might be deemed relevant for the calculation of such methodology by the relevant authority.
13. When reporting and disclosing the information referred to in paragraphs 11 and 12, relevant
entities should use the electronic template and follow the yearly instructions published for this purpose on the EBA website. A1
14. Relevant entities should submit the information referred to in paragraph 11 to the relevant
authorities and publicly disclose the information referred to in paragraph 12 on an annual basis no later than four months after each financial year-end date, starting from the second consecutive financial year-end date on which the threshold specified in paragraph 6 of these Guidelines has been exceeded. When doing so, relevant entities should identify themselves using their Legal Entity Identifiers (LEIs) O
15. The relevant authorities may allow relevant entities whose financial year‐end does not coincide
with 31 December to report and disclose that information based on their position as close as possible to 31 December. In any case, disclosure of the information should be made no later than 31 July.
16. The relevant authorities should ensure that the reported and disclosed data are identical to
those submitted to the Basel Committee on Banking Supervision, where applicable.

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
6. Information to the EBA
17. The relevant authorities should provide the EBA with all the data, including ancillary data and
memorandum items, collected in accordance with these guidelines so that they can be collated on the EBA website. Relevant entities should identify themselves using their LEIs. The EBA will not disclose the ancillary data and memorandum items.

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
Annex
A1
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
(6) LEI code
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 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))

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS g. Exposures of insurance subsidiaries not included in 2.f. net of intragroup:
(1) On-balance-sheet and off-balance-sheet assets of insurance subsidiaries (2) Potential future exposure of derivatives contracts of insurance subsidiaries (3) Investment value in consolidated entities h. Intragroup exposures included in 2.f. to insurance subsidiaries reported in 2.g.
i. Total exposures indicator, including insurance subsidiaries (sum of
items 2.f., 2.g.(1) through 2.g.(2) minus 2.g.(3) through 2.h.)
INTERCONNECTEDNESS INDICATORS
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 SFTs with other financial institutions e. OTC 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, including insurance subsidiaries (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 SFTs with other financial institutions
d. OTC 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, including insurance subsidiaries (sum of items 4.a.(1) through 4.d.(2))

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS
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 in item 5.c. h. Securities outstanding indicator, including the securities issued by insurance subsidiaries (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. Canadian dollars (CAD)
c. Swiss francs (CHF)
d. Chinese yuan (CNY) e. Euros (EUR) f. British pounds (GBP) g. Hong Kong dollars (HKD) h. Indian rupees (INR)
i. Japanese yen (JPY)
j. New Zealand dollars (NZD) k. Swedish krona (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.)
Section 9 - Trading Volume Amount
a. Trading volume of securities issued by other public sector entities, excluding intragroup transactions b. Trading volume of other fixed income securities, excluding intragroup transactions
c. Trading volume fixed income sub-indicator (sum of items 9.a. and
9.b.) d. Trading volume of listed equities, excluding intragroup transactions e. Trading volume of all other securities, excluding intragroup transactions

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS f. Trading volume equities and other securities sub-indicator (sum of items 9.d. and 9.e.) COMPLEXITY INDICATORS
Section 10 - Notional Amount of Over-the-Counter (OTC)
Derivatives
Amount a. OTC derivatives cleared through a central counterparty b. OTC derivatives settled bilaterally
c. Notional amount of over-the-counter (OTC) derivatives indicator,
including insurance subsidiaries (sum of items 10.a. and 10.b.)
Section 11 - Trading and Available-for-Sale Securities Amount
a. Held-for-trading securities (HFT) b. Available-for-sale securities (AFS)
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 haircuts e. Trading and AFS securities indicator (sum of items 11.a. and 11.b., minus the sum of 11.c. and 11.d.)
Section 12 - Level 3 Assets Amount
a. Level 3 assets indicator, including insurance subsidiaries CROSS‐JURISDICTIONAL ACTIVITY INDICATORS
Section 13 - Cross-Jurisdictional Claims Amount
a. Total foreign claims on an ultimate risk basis b. Foreign derivative claims on an ultimate risk basis
c. Cross-jurisdictional claims indicator (sum of items 13.a. and 13.b.)
Section 14 - Cross-Jurisdictional Liabilities Amount
a. Foreign liabilities on an immediate risk basis, excluding derivatives and including local liabilities in local currency b. Foreign derivative liabilities on an immediate risk basis
c. Cross-jurisdictional liabilities indicator (sum of items 14.a. and 14.b.)
ANCILLARY DATA
Section 15 - Ancillary Indicators Amount
a. Total liabilities b. Retail funding
c. Wholesale funding dependence ratio (the difference between items
15.a .and 15.b., divided by 15.a.) d. Total gross revenue e. Total net revenue f. Foreign net revenue

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS 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
Section 16 - Ancillary Items Amount
a. Held-to-maturity securities b. Payments made in the reporting year (1) Brazilian real (BRL) (2) Mexican pesos (MXN) (3) Norwegian krone (NOK) (4) Russian rubles (RUB) (5) Singapore dollar (SGD) (6) South Korean won (KRW) MEMORANDUM ITEMS
Section 17 - Size Items Amount
a. Exposure of insurance subsidiaries already included in prudential regulatory scope of consolidation b. Quarterly average value of total exposures
c. Monthly average value of total exposures
Section 18 - Interconnectedness Items Amount
a. Intra-financial system assets indicator (old indicator) b. Quarterly average value of intra-financial system assets
c. Monthly average value of intra-financial system assets
d. Intra-financial system liabilities indicator (old indicator) e. Quarterly average value of intra-financial system liabilities f. Monthly average value of intra-financial system liabilities g. Securities outstanding indicator (old indicator) h. Quarterly average value of securities outstanding
i. Monthly average value of securities outstanding
Section 19 - Substitutability/Financial Infra. Items Amount
a. Trading volume of securities issued by sovereigns, excluding intragroup transactions b. Initial margin posted to central counterparties (CCPs) on behalf of clients
c. Initial margin posted to CCPs for the reporting group’s own account
d. Default fund contributions to CCPs e. Other facilities to CCPs

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS f. Provision of settlement services in connection with centrally cleared transactions g. Quarterly average value of assets under custody h. Monthly average value of assets under custody
Section 20 - Complexity Items Amount
a. OTC derivatives indicator (old indicator) b. Notional amount of over-the-counter (OTC) derivatives, including insurance subsidiaries:
(1) Cleared through a CCP where the group (including ins. subs.) acts as a financial intermediary (CCP-leg) (2) Cleared through a CCP where the group (including ins. subs.) acts as a financial intermediary (client-leg) (3) Cleared through a CCP where the group, including insurance subsidiaries, acts as an agent (4) Cleared through a CCP where the group, including insurance subsidiaries, trades on its own account
c. OTC derivatives cleared through a central counterparty (LIBOR
transition exclusion) d. Quarterly average value of the notional amount of over-the-counter (OTC) derivatives e. Monthly average value of the notional amount of over-the-counter (OTC) derivatives f. Quarterly average value of trading and available-for-sale securities g. Monthly average value of trading and available-for-sale securities h. Level 3 assets indicator (old indicator)
i. Quarterly average value of Level 3 Assets
j. Monthly average value of Level 3 Assets k. Level 2 assets, including insurance subsidiaries (1) Level 2 assets, including insurance subsidiaries, cleared through a CCP (2) Level 2 assets, including insurance subsidiaries, settled bilaterally (3) Other Level 2 assets, including insurance subsidiaries
l. Average value of Level 2 assets, including insurance subsidiaries
Section 21 - Cross-Jurisdictional Activity Items Amount
a. Cross-jurisdictional liabilities indicator (old indicator) (1) Foreign liabilities (excluding derivatives and local liabilities in local currency) (2) Any foreign liabilities to related offices included in item 21.a.(1) (3) Local liabilities in local currency (excluding derivatives activity) b. Local liabilities in local currency (including derivatives activity)
c. Cross-jurisdictional local claims in local currency (excluding
derivatives activity) d. Cross-jurisdictional local claims in local currency (including derivatives activity) e. Total foreign claims on an ultimate risk basis (considering SRM as a single jurisdiction) f. Foreign derivatives claims on an ultimate risk basis (considering SRM as a single jurisdiction) g. Foreign liabilities on an immediate risk basis, including derivatives (considering SRM as a single jurisdiction) (1) Foreign derivatives liabilities on an immediate risk basis (considering SRM as a single jurisdiction)

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS h. Cross-jurisdictional local claims in local currency, excluding derivatives activity (considering SRM as a single jurisdiction)
i. Cross-jurisdictional local claims in local currency, including derivatives
activity (considering SRM as a single jurisdiction) j. Foreign liabilities, excluding derivatives and local liabilities in local currency (considering SRM as a single jurisdiction) (1) Any foreign liabilities to related offices included in item 20.j. (considering SRM as a single jurisdiction) k. Local liabilities in local currency excluding derivatives (considering SRM as a single jurisdiction)
l. Local liabilities in local currency including derivatives (considering
SRM as a single jurisdiction) m. Total net local positions in local currency including derivatives, if net positive n. Total net local positions in local currency including derivatives, if net negative o. Total net local positions in local currency in non-SRM countries including derivatives, if net positive (c. SRM as a s. j.) p. Total net local positions in local currency in non-SRM countries including derivatives, if net negative (c. SRM as a s. j.) q. Total net local positions in local currency in SRM countries including derivatives (considering SRM as a single jurisdiction) r. Intra-office claims booked by foreign subsidiaries s. Intra-office claims booked by foreign branches t. Intra-office liabilities booked by foreign subsidiaries u. Intra-office liabilities booked by foreign branches
v. Quarterly average value of cross-jurisdictional claims
w. Monthly average value of cross-jurisdictional claims
x. Quarterly average value of cross-jurisdictional liabilities
y. Monthly average value of cross-jurisdictional liabilities
Section 22 - Ancillary Indicators
a. Foreign net revenue (considering SRM as a single jurisdiction) b. Number of jurisdictions (considering SRM as a single jurisdiction) CHECKS SUMMARY
Section 23 – Indicator Values (Revised methodology) Indicator value in reporting
currency a. Section 2 ‐ Total exposures indicator, including insurance subsidiaries b. Section 3 ‐ Intra‐financial system assets indicator, including insurance subsidiaries
c. Section 4 ‐ Intra‐financial system liabilities indicator, including
insurance subsidiaries d. Section 5 ‐ Securities outstanding indicator, including insurance subsidiaries e. Section 6 ‐ Payments activity indicator f. Section 7 ‐ Assets under custody indicator g. Section 8 ‐ Underwriting activity indicator h. Section 9.c ‐ Trading Volume fixed income sub‐indicator
i. Section 9.f ‐ Trading Volume equities and other securities sub‐
indicator

FINAL REPORT FOR THE EBA GUIDELINES ON THE SPECIFICATION AND DISCLOSURE OF SYSTEMIC IMPORTANCE INDICATORS j. Section 10 ‐ OTC derivatives indicator, including insurance subsidiaries k. Section 11 ‐ Trading and AFS securities indicator
l. Section 12 ‐ Level 3 assets indicator, including insurance subsidiaries
m. Section 13 ‐ Cross‐jurisdictional claims indicator n. Section 14 ‐ Cross‐jurisdictional liabilities indicator o. 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 15 ‐ Ancillary Indicators (4) Section 16 ‐ Ancillary Items (5) Section 17 ‐ Size Items (6) Section 18 ‐ Interconnectedness Items (7) Section 19 ‐ Substitutability/Financial Infra. Items (8) Section 20 ‐ Complexity Items (9) Section 21 ‐ Cross‐Jurisdictional Activity Items (10) Section 22 ‐ Ancillary Indicators
Section 24 – Indicator Values (old methodology) Indicator value in reporting
currency a. Section 2 ‐ Total exposures indicator b. Section 18 ‐ Intra‐financial system assets indicator
c. Section 18 ‐ Intra‐financial system liabilities indicator
d. Section 18 ‐ Securities outstanding indicator e. Section 6 ‐ Payments activity indicator f. Section 7 ‐ Assets under custody indicator g. Section 8 ‐ Underwriting activity indicator h. Section 20 ‐ OTC derivatives indicator
i. Section 11 ‐ Trading and AFS securities indicator
j. Section 20 ‐ Level 3 assets indicator k. Section 13 ‐ Cross‐jurisdictional claims indicator
l. Section 21 ‐ Cross‐jurisdictional liabilities indicator