BCBS Issues Reporting Instructions and Template for G-SIB Assessment
BCBS published reporting instructions, reporting template, and the year-end and annual average exchange rates as part of the 2020 assessment for global systemically important banks (G-SIBs). The reporting instructions cover general information such as the scope of the G-SIB assessment exercise, the process to be followed, and the overall structure of the quantitative questionnaire. The reporting instructions also detail the data collected in the template, including the specific data definitions and the interpretation of built-in data checks.
While participation in portions of this exercise is voluntary in certain jurisdictions, BCBS expects a high level of participation to ensure robust results. The relevant supervisory authorities will be required to estimate values based on publicly available information if banks do not provide data. In accordance with BCBS standards, all banks with a leverage ratio exposure measure exceeding EUR 200 billion (using the exchange rate applicable at the financial year-end) are required to publicly disclose information containing at least the 12 indicators described in Appendix 5 (of the instructions document) within four months of the financial year-end. Banks below this threshold that have been added to the sample as a result of being classified as a G-SIB in the previous year are also subject to the disclosure requirement.
The BCBS assessment methodology for G-SIBs requires a sample of banks to report a set of indicators to national supervisory authorities. These indicators are then aggregated and used to calculate the scores of banks in the sample. Banks above a cut-off score are identified as G-SIBs and are allocated to buckets, which are then used to determine their higher loss-absorbency requirement. BCBS had published a revised assessment methodology and the higher loss-absorbency requirement for G-SIBs in July 2018. This revised assessment methodology was scheduled to apply from 2021, based on the end-2020 data. However, in April 2020, when BCBS had set out additional measures to alleviate the impact of COVID-19 pandemic, BCBS decided to postpone the implementation of the revised G-SIB framework by one year, from 2021 to 2022.
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Keywords: International, Banking, G-SIB, Systemic Risk, G-SIB Assessment, Reporting, Regulatory Capital, Basel, BCBS
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