Global systemically important banks – Public disclosure requirements

Document properties

  • Type of publication : Advisory
  • Category: Accounting and Disclosure
  • Effective Date: March 2014
  • Revised Date: September 2015

This Advisory replaces and revises a previous Advisory "Global systemically important banks – Public disclosure requirements" released March 31, 2014.

On July 3, 2013, the Basel Committee on Banking Supervision (BCBS) issued a document entitled Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement (G-SIB Framework). Footnote 1 The document describes the assessment methodology used annually by the BCBS and the Financial Stability Board (FSB) to identify global systemically important banks (G-SIBs), and also the higher capital requirements applying to G-SIBs. As a means of enhancing transparency of the annual G-SIB identification exercise, the paper outlines requirements with respect to annual public disclosure of selected data captured within the assessment methodology.

This Advisory clarifies the implementation in Canada of the annual public disclosure requirements outlined in the G-SIB framework.

1. Scope of application

This Advisory applies to federally regulated banks with a Basel III leverage ratio exposure measure exceeding €200 billion at financial year-end.

2. Implementation date

The requirements outlined herein are to be considered an annual data disclosure exercise.

Public disclosure of financial year-end data is required annually no later than the date of a bank's Q1 public disclosure of shareholder financial data in the following year.

3. Availability of publicly-disclosed data

A bank may choose to disclose required information as described in Part 4 within its published report to shareholders (e.g., in the Management Discussion and Analysis section).

At a minimum, the published report to shareholders should provide a direct link to the completed disclosures on the bank's website.

4. Disclosure requirement

The disclosure requirement is based on the status of each bank in accordance with the annual G-SIB identification exercise.

4(a) Disclosure requirement for banks that meet the criterion for public disclosure of data as outlined in Section 1, but that have not been identified as a G-SIB by the FSB in the previous financial year

These banks are required to publicly disclose, at a minimum, the Canadian-dollar denominated values of the 12 indicators comprising the G-SIB assessment methodology, using the attached Reporting Template.

4(b) Disclosure requirement for banks that have been identified as G-SIBs by the FSB in the previous financial year

In addition to the attached Reporting Template, these banks are required to publicly disclose the Canadian-dollar denominated values of all line items in the detailed data template used by the BCBS and the FSB for the annual G-SIB identification exercise (the BCBS template). The BCBS template provides for the full calculation of each of the 12 indicators captured in the attached Reporting Template.

Banks that are required to publicly disclose data as described in 4(a) above are not precluded from disclosing the detailed data found in the BCBS template.

Additional disclosures applicable to banks described in 4(a) and 4(b)

Whether required to publicly disclose data in accordance with 4(a) or 4(b) above, banks should include any additional information deemed useful to facilitate understanding of the data, including how it should be interpreted within the context of the assessment methodology used by the BCBS and FSB in the annual identification of G-SIBs. Moreover, where only the values of the 12 indicators are required to be disclosed by banks in accordance with 4(a) above, they should also provide discussion of the main drivers behind any material change in one or more of the 12 indicator values compared to the previous year.

In addition, banks identified as Domestic Systemically Important Banks (D-SIBs) Footnote 2 in Canada are expected to demonstrate public disclosure practices that are among the best of their international peers. As such, as international banks' public disclosure practices evolve in relation to the G-SIB identification exercise, it is expected that Canadian D-SIBs that are also subject to this disclosure requirement will continue to align their disclosure of data with international best-practice.

5. Reporting Template

Key points to note about the Template are:

  • The template is intended to capture the values of the 12 indicators included in the BCBS-FSB methodology for assessing the systemic importance of large global banks.
  • Financial year-end data should be reported for each indicator, except as otherwise noted in the BCBS FSB methodology.
  • Indicator values should be reported in Canadian dollar (CAD) thousands.
  • Indicator values should be reported for the consolidated group, in accordance with the regulatory scope of consolidation. Insurance or other non-banking activities should only be included insofar as they are included in the regulatory consolidation of the group.
Section Indicators Current year Value Comparative Year Value
A. Cross-jurisdictional activity 1. Cross-jurisdictional claims
3. Cross-jurisdictional liabilities
B. Size 3. Total exposures as defined for use in the Basel III leverage ratio
C. Interconnectedness 4. Intra-financial system assets
5. Intra-financial system liabilities
6. Securities outstanding
D. Substitutability / financial institution infrastructure 7. Payments activity
8. Assets under custody
9. Underwritten transactions in debt and equity markets
E. Complexity 10. Notional amount of over-the-counter (OTC) derivatives
11. Trading and available-for-sale securities
12. Level 3 assets

Footnotes

Footnote 1

BCBS July 2013: http://www.bis.org/publ/bcbs255.pdf

Return to footnote 1

Footnote 2

D-SIBs are identified in Annex 1 (Domestic Systemic Importance and Capital Targets) of Chapter 1 of the Capital Adequacy Requirements Guideline.

Return to footnote 2