Commission Delegated Regulation (EU) No 1222/2014 of 8 October 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards for the specification of the methodology for the identification of global systemically important institutions and for the definition of subcategories of global systemically important institutions Text with EEA relevance

Article 1

Subject matter and scope

This Regulation specifies the methodology in accordance with which the authority referred to in Article 131(1) of Directive 2013/36/EU (hereinafter referred to as ‘relevant authority’) of a Member State shall identify, on a consolidated basis, a relevant entity as a global systemically important institution (G-SII), and the methodology for the definition of subcategories of G-SIIs and the allocation of G-SIIs to those subcategories based on their systemic significance and, as part of the methodology, timelines and data to be used for the identification.

Article 2

Definitions

For the purpose of this Regulation, the following definitions apply:

(1) ‘Relevant entity’ means a group headed by an EU parent institution, an EU parent financial holding company or an EU parent mixed financial holding company, or an institution that is not a subsidiary of an EU parent institution, of an EU parent financial holding company or of an EU parent mixed financial holding company;

(2) ‘Indicator value’ means for each indicator set out in Article 6 and for each relevant entity of the sample the individual value of the indicator and for each bank authorised in a third country a comparable individual value publicly disclosed in accordance with internationally agreed standards;

(3) ‘Denominator’ means for each indicator the total aggregate value of the indicator values of the relevant entities and banks authorised in third countries of the sample;

(4) ‘Cut-off score’ means a score value determining the lowest boundary and the boundaries between the five subcategories as defined in Article 131(9) of Directive 2013/36/EU.

Article 3

Common parameters for the methodology

The sample shall consist of relevant entities and banks authorised in third countries and comprise the 75 largest of them, based on the total exposure as defined in Article 6(1), as well as relevant entities that were designated as G-SIIs and banks in third countries that were designated as global systemically important in the previous year.

The EBA shall exclude or add relevant entities or banks authorised in third countries, if and to the extent necessary to ensure an adequate reference system for assessing systemic significance reflecting the global financial markets and the global economy, taking into account internationally agreed standards including the sample used by the Basel Committee on Banking Supervision.

The relevant authority shall report the indicator values of each relevant entity with a total exposure measure, calculated in accordance with Article 429(4) of Regulation (EU) No 575/2013 of the European Parliament and of the Council (¹), above EUR 200 billion that is authorised within its jurisdiction to the EBA not later than 31 July of each year. The indicator values shall be collected by the relevant authority taking into account the further specifications of the underlying data as set out in any guidelines developed by the EBA pursuant to Article 16 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (²). The relevant authority shall ensure that the indicator values are identical to those submitted to the Basel Committee on Banking Supervision.

Article 4

Identification procedure

Article 5

Identification as G-SII, determination of the scores and allocation to subcategories

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.

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.

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.

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.

Article 6

Indicators

The category measuring the interconnectedness of the group with the financial system shall consist of all of the following indicators:

(a) intra-financial system assets;

(b) intra-financial system liabilities;

(c) securities outstanding.

The category measuring the substitutability of the services or of the financial infrastructure provided by the group shall consist of all of the following indicators:

(a) assets under custody;

(b) payments activity;

(c) underwritten transactions in debt and equity markets;

(d) trading volume.

The category measuring the complexity of the group shall consist of all of the following indicators:

(a) notional amount of over-the-counter derivatives;

(b) assets included in the level 3 of fair-value measured in accordance with Delegated Regulation (EU) No 1255/2012 (⁴);

(c) trading and available-for-sale securities.

The category measuring the cross border activity of the group shall consist of the following indicators:

(a) cross-jurisdictional claims;

(b) cross-jurisdictional liabilities.

Article 8

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 1 January 2015.

This Regulation shall be binding in its entirety and directly applicable in all Member States.