On disclosure of systemic importance indicators

30.06.2017, Moscow

June 30, 2017, Moscow Since 2011, at the request of the Bank of Russia, Sberbank has been participating annually in completing the questionnaire of the Basel Committee on Banking Supervision (BCBS) aimed at creating a list of global systemically important banks - banks for which the amount of total assets for calculating the financial leverage is over € 200 bln.   Sberbank is the only bank representing Russia which participates in the survey.

Participation in the BCBS survey is an analytical measure whose only objective is to create a list of systemically important banks within the context of the international system of finance. The results of this participation - indicators of global systemic importance - are not a characterization of the financial state of the bank participating in the survey. Detailed information on the methodology of the assessment of global systemic importance and the history of the conducting of this survey can be found on the Basel Committee's website (http://www.bis.org/bcbs/gsib). The final list of global systemically important organizations is published on the website of the Financial Stability Board (http://www.financialstabilityboard.org/publications).

Since 2015, BCBS's approaches with respect to the format of participation of the biggest global banks in creating a list of global systemically important banks involve mandatory disclosure by the banks participating in the survey of information about systemic importance indicators. In accordance with the requirements of BCBS and the Bank of Russia, Sberbank is disclosing data on systemic importance indicators. The indicators were calculated based on data for the preparation of Sberbank Group's IFRS-compliant consolidated financial statements for 2016 and on public information about securities issued. Survey results were submitted to the Bank of Russia, which forwarded them to BCBS.

 

Indicator

Indicator definition

Indicator value (mln RUB) as of

12/31/2016

12/31/2015

Total exposures indicator

Calculated based on the financial leverage calculation methodology according to Basel III requirements: the amount of balance-sheet assets, potential derivative credit exposure, off-balance sheet credit-related commitments

28,457,020

30,231,360

Intra-financial system assets indicator

The amount of claims against financial institutions, including:

- loan indebtedness;

-  undrawn credit lines;

- securities whose issuers are financial institutions;

- subordinated loans granted;

- claims from repurchase transactions with financial institutions;

- claims from derivatives with the financial institutions, and potential credit exposure from such derivatives;

2,033,600

2,197,400

Intra-financial system liabilities indicator

The amount of liabilities to financial institutions:

- deposits;

-  undrawn credit lines;

- liabilities from repurchase transactions with financial institutions;

- liabilities from derivatives with financial institutions, and potential credit exposure from such derivatives;

641,200

1,046,000

Securities outstanding indicator

The following are included in calculations at fair value:

- debt obligations;

- subordinated loans raised;

- certificates of deposit issued;

- ordinary and preferred shares

5,235,300

3,898,800

Assets under custody indicator

Value of assets controlled by Asset Management Group members, at their fair value

138,200

116,900

Underwriting activity indicator

Amount of securities placed by Group members

274,800

222,300

OTC derivatives indicator

Nominal volume of OTC derivatives

2,976,100

3,663,100

Trading and AFS securities indicator

The total amount of trading and available for sale securities, calculated based on the classification of securities according to the Liquidity Coverage Ratio methodology

1,105,700

1,124,900

Level 3 assets indicator

The size of the portfolio of securities whose fair value is determined based on methods using input data which are not observed on the open market and which substantially affect the fair value

325,000

404,600

Cross-jurisdictional claims indicator

According to the Basel methodology, claims against foreign counterparties are included in calculations. Derivative transactions are not included in the calculations.

5,482,600

6,737,600

Cross-jurisdictional liabilities indicator

According to the Basel methodology, liabilities to foreign counterparties are included in calculations. Derivative transactions are not included in the calculations.

3,363,800

4,145,600