Bulletin – December Quarter 2014 Identifying Global Systemically Important Financial Institutions

Table A1: Indicators for Identifying Global Systemically Important Financial Institutions
Developed by: Banks (G-SIBs)
BCBS
Insurers (G-Slls)
IAIS
Finance companies
FSB
Market intermediaries
IOSCO
Investment funds
IOSCO
Category
 
Indicator(a)
 
Weight % Indicator(a)
 
Weight % Indicator
 
Indicator
 
Indicator
 
Size Total exposures as defined for use in the Basel III leverage ratio 20
  1. Total assets (2.5%)
  2. Total revenues (2.5%)
5
  1. Total globally consolidated
    balance sheet assets
  2. Total globally consolidated off-balance sheet exposures
  1. Total globally
    consolidated balance
    sheet assets
  2. Total globally
    consolidated off-balance
    sheet exposures
  3. Client assets outstanding
  1. Net assets under management (AUM) or net asset value (NAV) for the fund
  2. For hedge funds, gross notional exposures (GNE) as an alternative indicator
Interconnectedness
  1. Intra-financial system assets (6.67%)
  2. Intra-financial system liabilities (6.67%)
  3. Securities outstanding (6.67%)
20
  1. Intra-financial assets (5.7%)
  2. Intra-financial liabilities (5.7%)
  3. Reinsurance (5.7%)
  4. Derivatives (5.7%)
  5. Large exposures (5.7%)
  6. Turnover (5.7%)
  7. Level 3 assets (5.7%)
40
  1. Intra-financial system assets
  2. Intra-financial system liabilities
  3. Borrowings, split by type
  4. Leverage ratio
  1. Intra-financial system assets
  2. Intra-financial system liabilities
  3. Leverage ratio
  4. Short-term debt ratio
  5. OTC derivatives assets and liabilities
  6. Amount of margin reguired at clearing houses or central counterparties
  1. Leverage ratio
  2. Counterparty exposure ratio
  3. Intra-financial system liabilities
Substitutability/financial institution infrastructure (banks)

Substitutability (insurers, NBNIs(b))
  1. Assets under custody (6.67%)
  2. Payments activity (6.67%)
  3. Underwritten transactions in debt and equity markets (6.67%)
20 Premiums for specific business lines 5 Qualitative assessment of ‘substitutability’, which takes into account the firm's market share in various financing markets and ease of substitutability by other provider(s) of funding
  1. Qualitative assessment of reliance of the market on the services of the intermediary (for a critical function or service)
  2. Market share, measured by (i) trading as a percentage of daily market volume on domestic exchanges, and (ii) if available, global market transaction volume in securities (including equities, bonds and futures)
  1. Turnover of the fund related to a specific asset/daily volume traded regarding the same asset
  2. Total fund turnover vs total turnover of funds in the same category/classification
  3. Investment strategies (or asset classes) with less than 10 market players globally
Complexity (banks, NBNIs(b))

Non-traditional insurance and non-insurance activities (insurers)
  1. Notional amount of over-the-counter (OTC) derivatives (6.67%)
  2. Level 3 assets (6.67%)
  3. Trading and available-for-sale securities (6.67%)
20
  1. Non-policyholder liabilities and non-insurance revenues (6.4%)
  2. Derivatives trading (6.4%)
  3. Short-term funding (6.4%)
  4. Financial guarantees (6.4%)
  5. Minimum guarantee on variable insurance products (6.4%)
  6. Intragroup commitments (6.4%)
  7. Liability liquidity (6.4%)
45
  1. OTC derivatives notional amount
  2. Difficulty in resolving a firm
  1. Structural complexity, measured by number of legal entities that are consolidated
  2. Operational complexity, measured by Level 3 assets
  1. OTC derivatives trade volumes at the fund/total trade volumes at the fund
  2. Ratio (%) of collateral posted by counterparties that has been re-hypothecated by the fund
  3. Ratio (%) of NAV managed using high frequency trading strategies
  4. Weighted-average portfolio liquidity (in days)/weighted-average investor liquidity (in days)
  5. Ratio of unencumbered cash to gross notional exposure (or gross AUM)
Cross-jurisdictional activity (banks)

Global activity (insurers)

Cross-jurisdictional presence (NBNIs(b))
  1. Cross-jurisdictional claims (10%)
  2. Cross-jurisdictional liabilities (10%)
20
  1. Revenues derived outside of home country (2.5%)
  2. Number of countries (2.5%)
5
  1. Size of cross-jurisdictional claims
  2. Size of cross-jurisdictional liabilities
  3. Number of jurisdictions in which the finance company conducts operations
  4. Assets or revenues in foreign jurisdictions
  1. Number of jurisdictions in which the market intermediary and/or its affiliates conduct operations
  2. Cross-jurisdictional claims and liabilities
  1. Number of jurisdictions in which a fund invests
  2. Number of jurisdictions in which the fund is sold/listed
  3. Counterparties established in different jurisdictions

(a) Individual weighting in brackets
(b) Non-bank non-insurer (NBNI) entities

Sources: BCBS; FSB; IAIS; IOSCO