EBA欧洲银行-EBA-GL-2014-10-28Guidelines-on-O-SIIs-Assessment29_41页_583kb

Summary of EBA/GL/2014/10 Guidelines

Core Content

The European Banking Authority (EBA) issued guidelines under Article 131(3) of Directive 2013/36/EU (CRD) to determine the conditions for identifying Other Systemically Important Institutions (O-SILs). These guidelines provide a structured approach for assessing systemic importance based on a set of criteria and indicators, and they aim to ensure consistency, transparency, and flexibility in the identification process across the European Union.

Main Views and Key Information

1. Identification Process Overview

• The identification of O-SILs involves a two-step process:

  • Step 1: A scoring methodology based on a set of mandatory indicators is used to calculate a score for each relevant entity.
  • Step 2: A supervisory judgment allows for the designation of additional institutions based on qualitative or quantitative factors.

• Automatic designation occurs when an institution's score is equal to or higher than 350 basis points.

• Authorities may adjust the threshold up to 425 basis points or down to 275 basis points to reflect the specificities of their national banking systems.

• Institutions with a score not exceeding 4.5 basis points should not be designated as O-SILs.

2. Scoring Methodology

• The scoring process is based on four criteria, each with one or more mandatory indicators:

  • Size: Total assets
  • Importance:
    • Value of domestic payment transactions
    • Private sector deposits from EU depositors
    • Private sector loans to EU recipients
  • Complexity/cross-border activity:
    • Value of OTC derivatives (notional)
    • Cross-jurisdictional liabilities
    • Cross-jurisdictional claims
  • Interconnectedness:
    • Intra-financial system liabilities
    • Intra-financial system assets
    • Debt securities outstanding

• Each criterion is assigned a weight of 25%, and indicators within each criterion are weighted equally.

• The overall score is calculated as the simple average of the four category scores.

3. Exclusions and Adjustments

• Exclusion of small institutions is allowed if their total assets do not exceed 0.02% of the total assets in the Member State.
• When excluding institutions, virtual entities should be used to maintain the integrity of the scoring process.
• Foreign branches should be included in the scoring process, with special attention to their relevance in the domestic system.

4. Supervisory Assessment

• Relevant authorities may use optional indicators to assess systemic importance, especially for institutions scoring below the chosen threshold.
• The supervisory overlay allows for flexibility in designating institutions based on national circumstances.
• Investment firms may be exempted from the methodology or assessed using a different approach if the current indicators are deemed inappropriate.

5. Disclosure and Transparency

• Authorities must publicly disclose the methodology, optional indicators, and reasons for adjusting the threshold.
• The scores of all designated O-SILs should be published annually by 1 December.
• If an institution is designated as an O-SIL despite a score below the threshold, a brief statement must be published explaining:
  • Which optional indicators were used
  • Why the indicator is relevant in the Member State
  • Why the institution is systemically important in terms of the indicator

6. Implementation and Review

• The guidelines apply as of 1 January 2015.
• Authorities are required to implement the guidelines within six months of publication.
• A review of the guidelines, including the mandatory framework, core criteria, indicators, weights, and thresholds, is scheduled for 30 April 2016.
• During the first two years, the EBA and relevant authorities should assess and refine the use of mandatory and optional indicators.

Key Indicators and Definitions

Mandatory Indicators (Annex 1)

Optional Indicators (Annex 2)

• Total EAD
• Total RWA
• Off-balance sheet items
• Market capitalisation
• Total EAD/Member State's GDP
• Total Assets/Member State's GDP
• Private sector loans
• Mortgage loans
• Business loans
• Retail loans
• Retail deposits
• Deposits guaranteed under deposit guarantee system
• Corporate deposits
• Any deposits
• Number of retail customers
• Share in clearing and settlement system
• Payment services provided to market participants
• Assets under custody
• Bond issuance underwriting
• Equity issuance underwriting
• Holdings of domestic bonds
• Number of deposit accounts — business
• Number of deposit accounts — retail
• Geographical breakdown of bank's activity
• Type of customers
• Level 3 assets
• Derivatives (assets and/or liabilities side)
• Value of Trading & available for sale securities
• Number of subsidiaries
• Number of foreign subsidiaries
• Number of jurisdictions active
• Degree of resolvability
• Foreign net revenue / total revenue
• Non-interest income / total income
• Value of repos
• Value of reverse repos
• Potential contagion through entities in conglomerate
• Potential contagion through shareholders
• Potential reputational contagion
• Interbank claims and/or liabilities
• Securities lending transactions
• Market transaction volumes or values

Final Provisions

• Compliance with the guidelines is mandatory for competent authorities and financial institutions.
• The EBA must be notified of compliance or non-compliance by 17 February 2015.
• The scores of O-SILs designated in 2015 must be published by 1 January 2016.
• The EBA and relevant authorities are expected to review and refine the methodology based on international standards, supervisory reporting, and systemic importance measurement approaches.