26. Macroprudential Supervisory Measures
| No: 44047144 | Date(g): 27/12/2022 | Date(h): 4/6/1444 | Status: In-Force |
| 26.1 | The disclosure requirements set out in this chapter are: | |||
| 26.1.1 | Template GSIB1 - Disclosure of global systemically important bank (G- SIB) indicators | |||
| 26.1.2 | Template CCyB1 - Geographical distribution of credit exposures used in the calculation of the bank-specific countercyclical capital buffer requirement | |||
| 26.2 | Template GSIB1 provides users of Pillar 3 data with details of the indicators used to assess how a G-SIB has been determined. Template GSIB1 is not required to be completed by banks unless SAMA identify the bank as G-SIB. | |||
| 26.3 | Template CCyB1 provides details of the calculation of a bank's countercyclical capital buffer, including details of the geographical breakdown of the bank's private sector credit exposures. | |||
| Template GSIB1 - Disclosure of G-SIB indicators | |||
| Purpose: Provide an overview of the indicators that feed into the Committee's methodology for assessing the systemic importance of global banks. | |||
| Scope of application: The template is mandatory for banks which in the previous year have either been classified as G-SIBs, have a leverage ratio exposure measure exceeding EUR 200 billion or were included in the assessment sample by supervisory judgment (see Basel Framework “Scope and definitions” Global systemically important Banks). For G-SIB assessment purposes, the applicable leverage ratio exposure measure definition is contained in the SLEV. For application of this threshold, banks should use the applicable exchange rate information provided on the Basel Committee website at www.bis.org/bcbs/gsib/ . The disclosure itself is made in the bank's own currency. | |||
| Content: At least the 12 indicators used in the assessment methodology of the G-SIB framework (see Basel Framework “Scope and definitions” Global systemically important Banks). | |||
| Frequency: Annual. | |||
| Format: Flexible. | |||
| Accompanying narrative: Banks should indicate the annual reference date of the information reported as well as the date of first public disclosure. Banks should include a web link to the disclosure of the previous G-SIB assessment exercise. Banks may supplement the template with a narrative commentary to explain any relevant qualitative characteristic deemed necessary for understanding the quantitative data. This information may include explanations about the use of estimates with a short explanation as regards the method used, mergers or modifications of the legal structure of the entity subjected to the reported data, the bucket to which the bank was allocated and changes in higher loss absorbency requirements, or reference to the Basel Committee website for data on denominators, cutoff scores and buckets. Regardless of whether Template GSIB1 is included in the annual Pillar 3 report, a bank's annual Pillar 3 report as well as all the interim Pillar 3 reports should include a reference to the website where current and previous disclosures of Template GSIB1 can be found. | |||
| Category | Individual indicator | Values | |
| 1 | Cross-jurisdictional activity | Cross-jurisdictional claims | |
| 2 | Cross-jurisdictional liabilities | ||
| 3 | Size | Total exposures | |
| 4 | Interconnectedness | Intra-financial system assets | |
| 5 | Intra-financial system liabilities | ||
| 6 | Securities outstanding | ||
| 7 | Substitutability/ Financial institution infrastructure | Assets under custody | |
| 8 | Payment activity | ||
| 9 | Underwritten transactions in debt and equity markets | ||
| 10 | Complexity | Notional amount of over-the-counter derivatives | |
| 11 | Level 3 assets | ||
| 12 | Trading and available for sale securities | ||
Definitions and instructions The template must be completed according to the instructions and definitions for the corresponding rows in force at the disclosure's reference date, which is based on the Committee's G-SIB identification exercise. | |||
| Template CCyB1 - Geographical distribution of credit exposures used in the calculation of the bank-specific countercyclical capital buffer requirement | |||||
| Purpose: Provide an overview of the geographical distribution of private sector credit exposures relevant for the calculation of the bank's countercyclical capital buffer. | |||||
| Scope of application: The template is mandatory for all banks subject to a countercyclical capital buffer requirement based on the jurisdictions in which they have private sector credit exposures subject to a countercyclical capital buffer requirement compliant with the Basel standards. Only banks with exposures to jurisdictions in which the countercyclical capital buffer rate is higher than zero should disclose this template. | |||||
| Content: Private sector credit exposures and other relevant inputs necessary for the computation of the bank-specific countercyclical capital buffer rate. | |||||
| Frequency: Semiannual. | |||||
| Format: Flexible. Columns and rows might be added or removed to fit with the domestic implementation of the countercyclical capital buffer and thereby provide information on any variables necessary for its computation. A column or a row may be removed if the information is not relevant to the domestic implementation of the countercyclical capital buffer framework. | |||||
| Accompanying narrative: For the purposes of the countercyclical capital buffer, banks should use, where possible, exposures on an "ultimate risk" basis. They should disclose the methodology of geographical allocation used, and explain the jurisdictions or types of exposures for which the ultimate risk method is not used as a basis for allocation. The allocation of exposures to jurisdictions should be made taking into consideration the clarifications provided by Basel Framework “Risk-based capital requirements” (Buffers above the regulatory minimum). Information about the drivers for changes in the exposure amounts and the applicable jurisdiction-specific rates should be summarised. | |||||
| a | b | c | d | e | |
| Geographical breakdown | Countercyclical capital buffer rate | Exposure values and/or risk-weighted assets (RWA) used in the computation of the countercyclical capital buffer | Bank-specific countercyclical capital buffer rate | Countercyclical capital buffer amount | |
| Exposure values | RWA | ||||
| (Home) Country 1 | |||||
| Country 2 | |||||
| Country 3 | |||||
| ⋮ | |||||
| Country N | |||||
| Sum | |||||
| Total | |||||
Definitions and instructions Unless otherwise provided for in the domestic implementation of the countercyclical capital buffer framework, private sector credit exposures relevant for the calculation of the countercyclical capital buffer (relevant private sector credit exposures) refer to exposures to private sector counterparties which attract a credit risk capital charge in the banking book, and the risk-weighted equivalent trading book capital charges for specific risk, the incremental risk charge and securitisation. Interbank exposures and exposures to the public sector are excluded, but non-bank financial sector exposures are included. Country: Country in which the bank has relevant private sector credit exposures, and which has set a countercyclical capital buffer rate greater than zero that was applicable during the reporting period covered by the template. Sum: Sum of private sector credit exposures or RWA for private sector credit exposures, respectively, in jurisdictions with a non-zero countercyclical capital buffer rate. | |||||
Total: Total of private sector credit exposures or RWA for private sector credit exposures, respectively, across all jurisdictions to which the bank is exposed, including jurisdictions with no countercyclical capital buffer rate or with a countercyclical capital buffer rate set at zero, and value of the bank-specific countercyclical capital buffer rate and resulting countercyclical capital buffer amount. Countercyclical capital buffer rate: Countercyclical capital buffer rate set by SAMA in question and in force during the period covered by the template or, where applicable, the higher countercyclical capital buffer rate set for the country in question by SAMA. Countercyclical capital buffer rates that were set by SAMA, but are not yet applicable in the country in question at the disclosure reference date (pre-announced rates) must not be reported. Total exposure value: If applicable, total private sector credit exposures across all jurisdictions to which the bank is exposed, including jurisdictions with no countercyclical capital buffer rate or with a countercyclical capital buffer rate set at zero. Total RWA: If applicable, total value of RWA for relevant private sector credit exposures, across all jurisdictions to which the bank is exposed, including jurisdictions with no countercyclical capital buffer rate or with a countercyclical capital buffer rate set at zero. Bank-specific countercyclical capital buffer rate: Countercyclical capital buffer that varies between zero and 2.5% or, where appropriate, above 2.5% of total RWA calculated in accordance with SACAP9.2 (B) and (C) as a weighted average of the countercyclical capital buffer rates that are being applied in jurisdictions where the relevant credit exposures of the bank are located and reported in rows 1 to N. This figure (ie the bank-specific countercyclical capital buffer rate) may not be deduced from the figures reported in this template as private sector credit exposures in jurisdictions that do not have a countercyclical capital buffer rate, which form part of the equation for calculating the figure, are not required to be reported in this template. Countercyclical capital buffer amount: Amount of Common Equity Tier 1 capital held to meet the countercyclical capital buffer requirement determined in accordance with SACAP9.2 (B) and (C). Linkages across templates [CCyB1:Total/d] is equal to [KM1:9/a] for the semiannual disclosure of KM1, and [KM1:9/b] for the quarterly disclosure of KM1 [CCyB1:Total/d] is equal to [CC1:66/a] (for all banks) or [TLAC1:30/a] (for G-SIBs) | |||||