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    ECB Issues GSIB Methodology on Cross-Border Exposures in Banking Union

    June 27, 2022

    The Governing Council of the European Central Bank (ECB) published the details of the methodology for exercising supervisory discretion regarding cross-border intra-European Banking Union exposures in the global systemically important bank (G-SIB) assessment framework.

    The methodology was published, following the completion of the Basel Committee on Banking Supervision’s (BCBS) targeted review of the treatment of cross-border exposures within the European Banking Union on the global systemically important banks (G-SIB) assessment framework. The published methodology adds an extra step to the existing G-SIB assessment framework through a bank-specific Adjustment for STructural Regional Arrangements (ASTRA). The methodology only affects the scores of the banks headquartered in the European Banking Union. The methodology follows a two-step approach:

    • the BCBS’s existing G-SIB assessment framework is used to calculate the G-SIB scores of all banks in the sample.
    • the scores of European Banking Union-headquartered banks are adjusted to account for regional structural arrangements in the Banking Union.

    The ASTRA is defined as the change in the G-SIB score that a European Banking Union-headquartered bank would face, if all exposures to counterparties resident in an European Banking Union country were regarded as domestic exposures. The European Banking Union methodology involves subtracting 66% of the bank-specific ASTRA from a European Banking Union-headquartered bank’s G-SIB score. The ASTRA is used solely for the purposes of the bucket allocations of the European Banking Union-headquartered banks, a bank cannot be removed from the list of G-SIBs on the basis of its ASTRA, and any downward adjustment is limited to a single bucket. The methodology does not affect banks headquartered outside the European Banking Union. The adjusted scores of all relevant European Banking Union-headquartered banks will be published, as part of obligations under the European Union law.

     

    Related Link: Statement (PDF)


    Keywords: Europe, EU, Banking, G-SIB, Cross-Border Exposures, G-SIB Assessment, G-SIB Framework, Banking Union, Systemic Risk, BCBS, Basel, ECB

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