Revisions to the global systemically important banks assessment framework proposed by the Basel Committee
30 March 2017
The Basel Committee on Banking Supervision today released a consultative document entitled Global systemically important banks - revised assessment framework. This document presents proposed revisions to the Committee's 2013 methodology for assessing and identifying global systemically important banks (G-SIBs).
The broad aim of the G-SIB framework is to reduce the probability of failure of a G-SIB by increasing its going-concern loss absorbency. The identification methodology assesses the relative systemic importance of internationally active banks based on 12 indicators in five categories, resulting in a score that measures the systemic importance of each bank. The bank's overall score is mapped to buckets that are associated with a higher loss absorbency (HLA) capital requirement.
When the Committee published the G-SIB assessment framework in July 2013, it agreed to review the framework every three years. The review is intended to enhance the framework and ensure that it remains consistent with its objectives in light of any structural changes in the global banking system that could introduce new dimensions of systemic risk not previously anticipated.
Having completed its review, the Committee is consulting on the following modifications to the framework:
- Removal of the cap on the substitutability category;
- Expansion of the scope of consolidation to include insurance subsidiaries;
- Amendments to the definition of cross-jurisdictional activity;
- Modification of the weights in the substitutability category and introduction of a trading volume indicator;
- Revisions to the disclosure requirements;
- Further guidance on bucket migration and the associated surcharge; and
- A proposed transition schedule.
The Committee is also seeking feedback on the introduction of a new indicator for short-term wholesale funding.
The Committee welcomes comments on all aspects of the consultative document. Comments should be uploaded by Friday 30 June 2017 using the link: www.bis.org/bcbs/commentupload.htm. All comments may be published on the website of the Bank for International Settlements (BIS) unless a respondent specifically requests confidential treatment.