Revised methodology for assessing the systemic importance of banks and identification of the D-SIBs


The Reserve Bank had issued the framework for dealing with Domestic Systemically Important Banks (D-SIBs) on July 22, 2014. In terms of this framework, the Bank is required to identify and disclose the names of banks designated as D-SIBs annually. Further, in terms of the framework, the assessment methodology, for assessing the systemic importance of banks and identification of the D-SIBs, is required to be reviewed on a periodic basis. Accordingly, a review of the assessment methodology has been carried out and major revisions in this regard include:

  1. For ‘Total Marketable Securities issued by the bank’ under Interconnectedness indicator – The value of securities reported under this head shall be based on their market value.
  2. For ‘Securities in Held for Trading (HFT) and Available for Sale (AFS) categories1’ under Complexity indicator – The subset of securities held in these categories that meet the definition of Level 1 and Level 2 assets (with applicable haircuts), as defined in the Basel III liquidity coverage ratio (LCR) guidelines2, shall be deducted.
  3. For Securities Financing Transactions (SFTs) and Over-the-counter (OTC) derivatives reported within Intra-Financial Assets and Intra-Financial Liabilities under Interconnectedness indicator – Where effective bilateral netting contracts as specified in the Basel III Capital Adequacy guidelines3 are in place, banks may report such transactions on a net basis.

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