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.
- BCBS Press Release
- Documents Published by BCBS
- Updated List of G-SIBs by FSB
- G-SIB Assessment Methodology, July 2013
Keywords: International, Banking, G-SIB, Systemic Risk, High-level Indicators, Disclosures, G-SIB Assessment, FSB, BCBS
Sam leads the quantitative research team within the CreditEdge™ research group. In this role, he develops novel risk and forecasting solutions for financial institutions while providing thought leadership on related trends in global financial markets.
Previous ArticleEIOPA Report Analyzes the Benefits of IFRS 17 on Insurance Contracts
EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.
FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).
APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.
BCBS and FSB published a report on supervisory issues associated with benchmark transition.
IAIS published a report on supervisory issues associated with benchmark transition from an insurance perspective.
ESMA updated the reporting manual on the European Single Electronic Format (ESEF).
EBA published a statement on resolution planning in light of the COVID-19 pandemic.
BCBS Finalizes Revisions to Credit Valuation Adjustment Risk Framework
ECB published a guideline (2020/97), in the Official Journal of European Union, on the definition of materiality threshold for credit obligations past due for less significant institutions.
FED temporarily revised the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes in response to the COVID-19 pandemic.