BANCO DE SABADELL, S.A. G-SIB 2023
Disclosure for global systemically important banks (G-SIBs) indicators as of 31 December 2023
26 April 2024
G-SIB 2023
Introduction
In November 2011 the FSB published an integrated set of policy measures to address the systemic and moral hazard risks associated with systemically important financial institutions. It identified an initial group of global systemically important banks (G-SIBs), using a methodology developed by the Basel Committee on Banking Supervision (BCBS). The report noted that the list of G-SIBs would be updated annually and published by the FSB each November. The latest list was published in November 2023, where 29 banks were identified as G-SIBs.
The Basel Committee on Banking Supervision (BCBS) assesses the systemic importance of banks in a global context. Global systemic importance should be measured in terms of the impact that a bank's failure can have on the global financial system and wider economy, rather than the risk that a failure could occur. This can be thought of as a global, system-wide,
loss-given-default (LGD) concept rather than a probability of default (PD) concept.
The supervisory process is based on the results of the indicator-basedmeasurement approach.
The selected indicators shall reflect:
- Size
- Interconnectedness
- Substitutability/Financial Infrastructure
- Complexity
- Cross-JurisdictionalActivity
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G-SIB 2023
Introduction
Banks that have a score produced by the indicator-based measurement approach that exceeds a cutoff level set by the Committee will be classified as G-SIBs. The current cut-off score for G-SIB designation is 130 bps.
This score, which captures the global share of activity and systemic risk that a bank poses to the larger financial system, is used in determining the higher loss absorbency (HLA) requirement.
FSB apply the following requirements to G-SIBs:
- Higher capital buffer.*
- Total Loss-Absorbing Capacity (TLAC)
- Resolution planning and regular resolvability assessments.
- Higher supervisory expectations
Although Banco de Sabadell Group is not currently a G-SIB, the obligation to disclose is defined as follows:
"In accordance with the BCBS standards, all banks with a leverage ratio exposure measure exceeding 200 billion euros (using the exchange rate applicable at the financial year-end) are required to publically disclose information containing at least the 14 indicators defined in G-SIB methodology within four months of the financial year-end".
In the next slides we disclose the information, corresponding to the fiscal year 2023.
- The G-SIBs shall be subject to a mandatory capital buffer (the 'G-SIIbuffer') according to Article 131 CRD (EU), and Its transposition to Spanish regulation: Art. 46 LOSSEC, Art. 62 RD 84/2015 and Nª 13 CBE 2/2016.
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G-SIB 2023
Summary
Category | Individual indicador | 2023 | 2022 |
Total exposures as defined for use in the BIS Basel III leverage | 256.776.739 | ||
Size | ratio1 | 236.275.641 256.776.739 | |
Interconectedness | Intra-financial system assets | 6.353.776 | 6.151.075 |
Intra-financial system liabilities | 7.909.006 | 7.627.410 | |
Securities outstanding | 30.429.857 | 26.331.795 | |
Substitutability / financial institution | |||
infrastructure | Payments activity | 310.598.090 231.126.620 | |
Assets under custody | 66.753.270 | 43.286.158 | |
Underwritten transactions in debt and equity markets | 1.907.797 | 1.836.383 | |
Trading Volume | 6.939.324 | 7.803.454 | |
Complexity | Notional amount of over-the-counter (OTC) derivatives | 188.207.641 183.950.701 | |
Level 3 Assets | 195.269 | 157.284 | |
Trading and available for sale securities2 | 627.214 | 654.888 | |
Cross-Jurisdictional Activity | Cross-Jurisdictional claims | 89.510.545 | 89.883.247 |
Cross-Jurisdictional liabilities | 71.278.840 | 71.125.070 | |
Amount in thousand EUR | *BIS-ECB validated figures |
1 According to the instructions of GSIBs template requeriments, this indicator matches the definition of total exposures as defined in Basel III leverage ratio framework and disclosure requeriments, January 2014, Basel Committee on Banking Supervision, available at www.bis.org/publ/bcbs270.html.
2 After offsetting of trading and available-for-sale securities that meet the definition of unencumbered Level 1 and Level 2 (after haircuts) assets, as per BCBS definition.
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G-SIB 2023
General Bank Data
Section 1 - General Information | GSIB | Response | ||
a. General information provided by the relevant supervisory authority: | ||||
(1) | Country code | 1001 | ES | |
(2) | Bank name | 1002 | Banco de Sabadell, S.A. | |
(3) Reporting date (yyyy-mm-dd) | 1003 | 2023-12-31 | ||
(4) | Reporting currency | 1004 | EUR | |
(5) | Euro conversion rate | 1005 | 1 | |
(6) | Submission date (yyyy-mm-dd) | 1006 | 2024-04-26 | |
b. General Information provided by the reporting institution: | ||||
(1) | Reporting unit | 1007 | 1.000 | |
(2) | Accounting standard | 1008 | IFRS | |
(3) | Date of public disclosure (yyyy-mm-dd) | 1009 | 2024-04-26 | |
(4) | Language of public disclosure | 1010 | English | |
https://www.grupbancsabadell.com/ | ||||
(5) | Web address of public disclosure | 1011 | corp/es/accionistas-e- | |
inversores/informacion-economico- | ||||
financiera.html | ||||
(6) | LEI code | 2015 | SI5RG2M0WQQLZCXKRM20 |
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G-SIB 2023
Size Indicator
Section 2 - Total Exposures | GSIB | Amount in thousand EUR | |||
a. Derivatives | |||||
(1) | Counterparty exposure of derivatives contracts | 1012 | 466.925 | ||
(2) | Effective notional amount of written credit derivatives | 1201 | 0 | ||
(3) | Potential future exposure of derivative contracts | 1018 | 810.443 | ||
b. Securities financing transactions (SFTs) | |||||
(1) | Adjusted gross value of SFTs | 1013 | 1.342.589 | ||
(2) | Counterparty exposure of SFTs | 1014 | 57.730 | ||
c. Other assets | 1015 | 223.075.857 | |||
d. Gross notional amount of off-balance sheet items | |||||
(1) | Items subject to a 10% credit conversion factor (CCF) | 1019 | 11.030.611 | ||
(2) | Items subject to a 20% CCF | 1022 | 13.309.673 | ||
(3) | Items subject to a 40% CCF | 2300 | 0 | ||
(4) | Items subject to a 50% CCF | 1023 | 10.343.237 | ||
(5) | Items subject to a 100% CCF | 1024 | 1.585.482 | ||
e. Regulatory adjustments | 1031 | 3.020.700 | |||
f. Total exposures prior to regulatory adjustments (sum of items 2.a.(1) through 2.c, 0.1 times 2.d.(1), 0.2 times 2.d.(2), 0.4 | |||||
times 2.d.(3), 0.5 times 2.d.(4), and 2.d.(5)) | 1103 | 236.275.641 | |||
g. Exposures of insurance subsidiaries not included in 2.f net of intragroup: | |||||
(1) | On-balance sheet and off-balance sheet assets of insurance subsidiaries | 1701 | 0 | ||
(2) | Potential future exposure of derivatives contracts of insurance subsidiaries | 1205 | 0 | ||
(3) | Investment value in consolidated entities | 1208 | 0 | ||
h. Intragroup exposures included in 2.f to insurance subsidiaries reported in 2.g | 2101 | 0 | |||
i. Total exposures indicator, including insurance subsidiaries (sum of items 2.f, 2.g.(1) through 2.g.(2) minus 2.g.(3) through 2.h) | |||||
1117 | 236.275.641 | ||||
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G-SIB 2023
Interconnectedness Indicators (1/2)
Section 3 - Intra-Financial System Assets | GSIB | Amount in thousand EUR | |||
a. Funds deposited with or lent to other financial institutions | 1216 | 2.784.243 | |||
(1) | Certificates of deposit | 2102 | 0 | ||
b. Unused portion of committed lines extended to other financial institutions | 1217 | 394.010 | |||
c. Holdings of securities issued by other financial institutions | |||||
(1) | Secured debt securities | 2103 | 711.935 | ||
(2) | Senior unsecured debt securities | 2104 | 821.912 | ||
(3) | Subordinated debt securities | 2105 | 0 | ||
(4) | Commercial paper | 2106 | 0 | ||
(5) | Equity securities | 2107 | 126.516 | ||
(6) | Offsetting short positions in relation to the specific equity securities included in item | 3.c.(5) | 2108 | 0 | |
d. Net positive current exposure of SFTs with other financial institutions | 1219 | 494.506 | |||
e. OTC derivatives with other financial institutions that have a net positive fair value | |||||
(1) | Net positive fair value | 2109 | 856.638 | ||
(2) | Potential future exposure | 2110 | 164.016 | ||
f. Intra-financial system assets indicator, including insurance subsidiaries (sum of items 3.a, 3.b through 3.c.(5), 3.d, 3.e.(1), | |||||
and 3.e.(2), minus 3.c.(6)) | 1215 | 6.353.776 | |||
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G-SIB 2023
Interconnectedness Indicators (2/2)
Section 4 - Intra-Financial System Liabilities | GSIB | Amount in thousand EUR | ||
a. Funds deposited by or borrowed from other financial institutions | ||||
(1) | Deposits due to depository institutions | 2111 | 2.270.361 | |
(2) | Deposits due to non-depository financial institutions | 2112 | 4.788.996 | |
(3) | Loans obtained from other financial institutions | 2113 | 0 | |
b. Unused portion of committed lines obtained from other financial institutions | 1223 | 552.645 | ||
c. Net negative current exposure of SFTs with other financial institutions | 1224 | 37.910 | ||
d. OTC derivatives with other financial institutions that have a net negative fair value | ||||
(1) | Net negative fair value | 2114 | 161.378 | |
(2) | Potential future exposure | 2115 | 97.715 | |
e. Intra-financial system liabilities indicator, including insurance subsidiaries (sum of items 4.a.(1) through 4.d.(2)) | 1221 | 7.909.006 | ||
Section 5 - Securities Outstanding | GSIB | Amount in thousand EUR | ||
a. Secured debt securities | 2116 | 10.676.910 | ||
b. Senior unsecured debt securities | 2117 | 8.782.465 | ||
c. Subordinated debt securities | 2118 | 1.838.011 | ||
d. Commercial paper | 2119 | 1.359.477 | ||
e. Certificates of deposit | 2120 | 4.560 | ||
f. Common equity | 2121 | 6.013.584 | ||
g. Preferred shares and any other forms of subordinated funding not captured in item 5.c. | 2122 | 1.754.850 | ||
h. Securities outstanding indicator, including the securities issued by insurance subsidiaries (sum of items 5.a through 5.g) | 1226 | 30.429.857 |
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G-SIB 2023
Substitutability/Financial Institution Infrastructure Indicators (1/2)
Section 6 - Payments made in the reporting year (excluding intragroup payments) | GSIB | Amount in thousand EUR |
a. Australian dollars (AUD) | 1061 | 83.167 |
b. Canadian dollars (CAD) | 1063 | 30.742 |
c. Swiss francs (CHF) | 1064 | 88.268 |
d. Chinese yuan (CNY) | 1065 | 100.099 |
e. Euros (EUR) | 1066 | 293.554.886 |
f. British pounds (GBP) | 1067 | 1.135.883 |
g. Hong Kong dollars (HKD) | 1068 | 10.425 |
h. Indian rupee (INR) | 1069 | 0 |
i. Japanese yen (JPY) | 1070 | 47.330 |
j. Swedish krona (SEK) | 1071 | 61.434 |
k. Singapore dollar (SGD) | 2133 | 13.967 |
l. United States dollars (USD) | 1072 | 15.471.891 |
m. Payments activity indicator (sum of items 6.a through 6.l) | 1073 | 310.598.090 |
Section 7 - Assets Under Custody | GSIB | Amount in thousand EUR |
a. Assets under custody indicator | 1074 | 66.753.270 |
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G-SIB 2023
Substitutability/Financial Institution Infrastructure Indicators (2/2)
Section 8 - Underwritten Transactions in Debt and Equity Markets | GSIB | Amount in thousand EUR |
a. Equity underwriting activity | 1075 | 0 |
b. Debt underwriting activity | 1076 | 1.907.797 |
c. Underwriting activity indicator (sum of items 8.a and 8.b) | 1077 | 1.907.797 |
Section 9 - Trading Volume | GSIB | Amount in thousand EUR |
a. Trading volume of securities issued by other public sector entities, excluding intragroup transactions | 2123 | 1.564.985 |
b. Trading volume of other fixed income securities, excluding intragroup transactions | 2124 | 5.374.339 |
c. Trading volume fixed income sub-indicator (sum of items 9.a and 9.b) | 2125 | 6.939.324 |
d. Trading volume of listed equities, excluding intragroup transactions | 2126 | 51.098.218 |
e. Trading volume of all other securities, excluding intragroup transactions | 2127 | 197.059 |
f. Trading volume equities and other securities sub-indicator (sum of items 9.d and 9.e) | 2128 | 51.295.277 |
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Disclaimer
Banco de Sabadell SA published this content on 26 April 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 26 April 2024 15:01:21 UTC.
