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November 16, 2018

BCBS published further information related to the 2018 assessment of global systemically important banks (G-SIBs), including additional details to help understand the scoring methodology. The publication of this information accompanies the release of the updated list of G-SIBs by FSB.

BCBS published the following additional information on the 2018 G-SIB assessment:

  • A list of all banks in the assessment sample
  • Denominators of each of the 12 high-level indicators used to calculate the banks' scores
  • The 12 high-level indicators for each bank in the sample used to calculate these denominators (published for the first time)
  • The cut-off score used to identify G-SIBs in the updated list and the thresholds used to allocate G-SIBs to buckets, for calculating the specific higher loss absorbency requirements
  • Links to disclosures of all banks in the assessment sample

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. In July, the Committee concluded its first review of the G-SIB framework and published a revised assessment methodology, which is expected to be implemented in member jurisdictions by 2021. BCBS will complete the next review of the G-SIB framework by 2021. The full amount of the higher loss absorbency requirement will come into effect from January 01, 2019, in line with the implementation schedule for the Basel III capital conservation buffer.

 

Related Links

Keywords: International, Banking, G-SIB, Systemic Risk, High-level Indicators, Disclosures, G-SIB Assessment, FSB, BCBS

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