Row

Legal references and instructions

0010 – 0120

G-SII indicators

The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014.

In case of changes to the methodolgy, the same methodology applicable for determing the indicators values as of the end of the financial year shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year.

Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable.

0010

Cross-jurisdictional claims

0020

Cross-jurisdictional liabilities

0030

Total exposures (leverage ratio)

0040

Intra-financial system assets

0050

Intra-financial system liabilities

0060

Securities outstanding

0070

Assets under custody

0080

Payments activity

0090

Underwritten transactions in debt and equity markets

0100

Trading volume

0110

Notional amount of OTC derivatives

0120

Level 3 assets

0130

Trading and available-for-sale securities

0140 – 0170

Items considering the European Banking Union as a single jurisdiction

For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts applied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics.

By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council (1) shall be excluded, i.e. the Participating Members States shall be considered as one single jurisdiction.

0140

Total foreign claims on an ultimate risk basis

Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in derivative contracts shall be excluded. ‘Claims’, ‘cross-border claims’, ‘local claims of foreign affiliates in foreign and local currency’ shall have the same meaning as defined in the Guidelines for reporting the BIS international banking statistics.

‘On an ultimate risk basis’ shall mean that, for the purposes of determining whether a claim ia a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the primary counterparty if that party fails to perform, where such a third party exists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international banking statistics.

0150

Foreign derivatives claims on an ultimate risk basis

The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency.

Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes purchased credit derivatives that hedge or offset credit protection sold or are held for trading purposes.

In case of such purchased credit derivatives, the value of shall not be capped at the value of the immediate claim it was purchased to guarantee.

The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a positive value shall be included in this item.

The derivative claims shall be reported gross of any cash collateral.

For the purposes of reporting information on an ultimate risk basis, the following shall apply:

a)  When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdiction.

b)  When the final risk lies with the guarantor, a derivative is considered foreign if the guarantor is not in the reporting entities’ home jurisdiction.

0160

Foreign liabilities on an immediate risk basis, including derivatives

Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item.

The definition of derivatives shall be the same as applied for row 0140.

The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash).

‘On an immediate risk basis’ shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract.

0170

of which: Foreign derivatives liabilities on an immediate risk basis

Subset of row 0160 that are derivatives liabilities