BCBS Publishes Details on G-SIB Assessment for 2020
BCBS released further information on the 2020 assessment of global systemically important banks (G-SIBs) to enhance understanding of G-SIB scores, based on end-2019 bank data. The methodology of the Basel Committee assesses the systemic importance of global banks, using indicators that are calculated based on data for the previous fiscal year-end supplied by banks and validated by national authorities. The final scores are mapped to corresponding buckets, which determine the higher loss-absorbency requirement for each G-SIB.
BCBS published the following:
- Denominators of each of the 12 high-level indicators used to calculate banks' scores
- Twelve high-level indicators for each bank in the sample, used to calculate these denominators
- Cut-off score used to identify the G-SIBs in the updated list and the thresholds used to allocate G-SIBs to buckets for the purpose of calculating the specific higher loss absorbency requirements
- Updated links to public disclosures of all banks in the sample
In parallel to these updates, FSB also published the list of G-SIBs for 2020, based on the assessment methodology of the Basel Committee. The methodology for G-SIB identification is described in the technical summary published by BCBS in November 2014. However, in July 2018, BCBS published a revised version of its assessment methodology, which is expected to be implemented in member jurisdictions by 2022 (based on end-2021 data); the resulting higher capital buffer requirement will be applied in January 2024, one year later than originally scheduled.
Related Links
- Press Release
- Denominators
- High-Level Indicators
- Cut-Off Score
- List of G-SIBs (PDF)
- Revised Assessment Methodology
Keywords: International, Banking, Basel, Regulatory Capital, Systemic Risk, G-SIBs, Assessment Methodology, BCBS
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