26. Macroprudential Supervisory Measures

Template CCyB1 provides details of the calculation of a bank's countercyclical capital buffer, including details of the geographical breakdown of the bank's private sector credit exposures. Template GSIB1 - Disclosure of G-SIB indicators** Purpose: Provide an overview of the indicators that feed into the Committee's methodology for assessing the systemic importance of global banks. Scope of application: The template is mandatory for banks which in the previous year have either been classified as G-SIBs, have a leverage ratio exposure measure exceeding EUR 200 billion or were included in the assessment sample by supervisory judgment (see Basel Framework “Scope and definitions” Global systemically important Banks ). For G-SIB assessment purposes, the applicable leverage ratio exposure measure definition is contained in the SLEV. Its scope also includes exposures arising from insurance subsidiaries. For application of this threshold, banks should use the applicable exchange rate information provided on the Basel Committee website at www.bis.org/bcbs/gsib/ . The disclosure itself is made in the bank's own currency. Content: At least the 13 indicators (including the two sub-indicators for the trading volume indicator, ie (i) trading volume of fixed income instruments, and (ii) trading volume of equities and other securities) used in the assessment methodology of the G-SIB framework (see Basel Framework “Scope and definitions” Global systemically important Banks ). Frequency: Annual. Format: Flexible. Accompanying narrative: Banks should indicate the annual reference date of the information reported as well as the date of first public disclosure. Banks should include a web link to the disclosure of the previous G-SIB assessment exercise. Banks may supplement the template with a narrative commentary to explain any relevant qualitative characteristic deemed necessary for understanding the quantitative data. This information may include explanations about the use of estimates with a short explanation as regards the method used, mergers or modifications of the legal structure of the entity subjected to the reported data, the bucket to which the bank was allocated and changes in higher loss absorbency requirements, or reference to the Basel Committee website for data on denominators, cutoff scores and buckets. Regardless of whether Template GSIB1 is included in the annual Pillar 3 report, a bank's annual Pillar 3 report as well as all the interim Pillar 3 reports should include a reference to the website where current and previous disclosures of Template GSIB1 can be found. Category Individual indicator Values 1 Cross-jurisdictional activity Cross-jurisdictional claims 2 Cross-jurisdictional liabilities 3 Size Total exposures as defined for use in the Basel III leverage ratio* 4 Interconnectedness Intra-financial system assets* 5 Intra-financial system liabilities* 6 Securities outstanding* 7 Substitutability/ Financial institution infrastructure Assets under custody 8 Payment activity 9 Underwritten transactions in debt and equity markets 10a Trading volume of fixed income instruments 10b Trading volume of equities and other securities 11 Complexity Notional amount of over-the-counter derivatives* 12 Level 3 assets* 13 Trading and available for sale securities *Extended scope of consolidation to include insurance subsidiaries. Definitions and instructions The template must be completed according to the instructions and definitions for the corresponding rows in force at the disclosure's reference date, which is based on the Committee's G-SIB identification exercise. Template CCyB1 - Geographical distribution of credit exposures used in the calculation of the bank-specific countercyclical capital buffer requirement Purpose: Provide an overview of the geographical distribution of private sector credit exposures relevant for the calculation of the bank's countercyclical capital buffer. Scope of application: The template is mandatory for all