Article 5
Identification as G-SII, determination of the scores and allocation to subcategories
1.
The
indicator values shall be based on reported data of the
relevant entity of the preceding financial year-end, on a consolidated basis, and for banks authorised in third countries on data disclosed in accordance with internationally agreed standards. Relevant authorities may use
indicator values of
relevant entities whose financial year-end is 30 June based on their position on 31 December.
1a.
By way of derogation from paragraph 1, the
indicator values referred to in Article 6(1), Article 6(2), points (a), (b) and (c), and Article 6(4), points (a) and (b), shall also include insurance subsidiaries.
2.
The relevant authority shall determine the score of each
relevant entity in the sample as the simple average of the category scores subject to a maximum category score of 500 basis points for the category measuring substitutability.
Each category score, except for the category measuring the substitutability of the services and of the financial infrastructure provided by the group, shall be calculated as the simple average of the values resulting from dividing each of the indicator values of that category by the denominator of the indicator notified by the EBA.
The score for the category measuring the substitutability of the services and of the financial infrastructure provided by the group shall be calculated as the weighted average of the indicator values of that category. For that purpose, the indicators for assets under custody as referred to in Article 6(3), point (a), and for payments activity as referred to in Article 6(3), point (b), shall be weighted in full, and the indicators for underwritten transactions in debt and equity markets as referred to in Article 6(3), point (c), and for trading volume as referred to in Article 6(3), point (d), shall be weighted at 50 %.
The scores shall be expressed in basis points and shall be rounded to the nearest whole basis point.
3.
The lowest cut-off score shall be 130 base points. The subcategories shall be allocated as follows:
(a)
subcategory 1 shall encompass scores from 130 to 229 base points;
(b)
subcategory 2 shall encompass scores from 230 to 329 base points;
(c)
subcategory 3 shall encompass scores from 330 to 429 base points;
(d)
subcategory 4 shall encompass scores from 430 to 529 base points;
(e)
subcategory 5 shall encompass scores from 530 to 629 base points.
4.
The relevant authority shall identify a
relevant entity as a G-SII where the score of that entity is equal to or higher than the lowest
cut-off score. A decision to designate a
relevant entity as a G-SII in the exercise of sound supervisory judgment in accordance with
Article 131(10)(b) of Directive 2013/36/EU shall be based on an assessment of whether its failure would have a significant negative impact on the global financial market and the global economy.
5.
The relevant authority shall allocate a G-SII to a subcategory in accordance with its score. A decision to re-allocate a G-SII from a lower subcategory to a higher subcategory in the exercise of sound supervisory judgment in accordance with
Article 131(10)(a), of Directive 2013/36/EU shall be based on an assessment whether its failure would have a higher negative impact on the global financial market and the global economy.
5a.
The relevant authority shall determine an additional overall score for each
relevant entity with cross-border activities across participating Member States as referred to in
Article 4(1) of Regulation (EU) No 806/2014 of the European Parliament and of the Council (
3
) by following the process set out in paragraph 2 of this Article, but shall replace the
relevant entity’s
indicator values referred to in Article 6(5), points (a) and (b) with those calculated in accordance with the second subparagraph of this paragraph, and shall replace the corresponding
denominators with the revised
denominators provided by the EBA.
For the purposes of the first subparagraph, the relevant authority shall consider as domestic all claims and liabilities vis-à-vis counterparties established in participating Member States as referred to in Article 4(1) of Regulation (EU) No 806/2014. For the categories referred to in Art 131(2), points (a) to (d), of Directive 2013/36/EU, the relevant authority shall consider the same unchanged indicator values reported by the relevant entity and denominators notified by the EBA.
5b.
On the basis of the additional overall score referred to in paragraph 5a, a decision to reallocate a G-SII from a higher subcategory to a lower subcategory, in the exercise of sound supervisory judgement in accordance with
Article 131(10), point (c), of Directive 2013/36/EU, shall be based on an assessment of whether the failure of the G-SII would have a lower negative impact on the global financial market and the global economy. That assessment shall, where appropriate, take into account any views or reservations adopted by the BCBS in accordance with its publicly available methodology for assessing the systemic importance of global systemically important banks.
The additional overall score referred to in paragraph 5a may determine the reallocation of the G-SII by the relevant authority to the next lower subcategory as referred to in paragraph 3 of this Article. The reallocation of the G-SII to a lower subcategory shall be limited to a maximum of one subcategory level.
6.
The decisions referred to in paragraphs 4, 5 and 5b shall be supported by ancillary indicators, which shall not be indicators of the probability that the
relevant entity will fail. Such decisions shall be based on well-documented and verifiable quantitative and qualitative information.