November 21, 2017

BCBS released further details on the 2017 assessment methodology for global systemically important banks (G-SIBs). This is related to the publication of the updated list of G-SIBs by FSB. The full amount of the higher loss absorbency requirement for G-SIBs will come into effect from January 01, 2019, consistent with the implementation schedule for the Basel III capital conservation buffer.

These additional details on the 2017 assessment methodology include:

  • A list of all the banks in the assessment sample
  • The denominators of each indicator used to calculate the banks' scores
  • The cutoff score that was used to identify the G-SIBs in the updated list
  • The thresholds used to allocate G-SIBs to buckets for the purpose of calculating the specific higher loss absorbency requirements
  • Links to disclosures of all banks in the assessment sample

BCBS methodology assesses the systemic importance of global banks using indicator-based measurements. The indicators are calculated based on data for the previous fiscal year-end supplied by banks and validated by national authorities. In exceptional cases, the scores may be adjusted by supervisors. The final scores are mapped to corresponding buckets, which determine the higher loss absorbency requirement for each G-SIB. As agreed in 2013, BCBS is reviewing its methodology and expects to finalize its review in 2018.

 

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Keywords: International, Banking, G-SIB, Assessment Methodology, Basel III, BCBS

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