On disclosure of systemic importance indicators

Since 2011, at the request of the Bank of Russia, Sberbank has been participating annually in the survey of the Basel Committee on Banking Supervision (BCBS) on preparation of a list of a 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 Russian bank which participates in the survey.

Participation in the BCBS survey is an analytical measure which 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 and the history of the 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, participation in BCBS’s survey involve mandatory disclosure by the participants of information about systemic importance indicators. In accordance with the requirements of BCBS and the Bank of Russia, Sberbank is disclosing below the data on systemic importance indicators. The indicators were calculated based on data used for the preparation of Sberbank Group’s 2017 IFRS consolidated financial statements and on public information about securities issued. Survey results were submitted to the Bank of Russia for further transmission to BCBS.

 

Indicator

Indicator definition

Indicator value (mln RUB) as of

12/31/2017

12/31/2016

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

30,961,950

28,457,020

Intra-financial system assets indicator The amounts placed with / due from financial institutions, including:

– loans;

–  undrawn credit lines;

– securities;

– subordinated loans granted;

– amounts due from financial institutions under repurchase agreements;

– amounts due from and potential credit exposure on derivative financial instruments;

2,199,600

2,033,600

Intra-financial system liabilities indicator Determined as the amounts of obligations due to financial institutions on:

– deposits;

–  undrawn credit lines;

– repurchase agreements;

– derivative financial instruments;

919,800

641,200

Securities outstanding indicator Determined as the sum of (1) carrying amount of debt securities issued (debt notes, promissory notes, certificates of deposit issued / savings certificates) and (2) fair value of ordinary and preferred shares issued.

6,179,000

5,235,300

Assets under custody indicator Fair value of assets under management by the Group.

208,800

138,200

Underwriting activity indicator Amount of clients’ securities placed by the Group/

333,500

274,800

OTC derivatives indicator Nominal volume of the OTC derivatives

4,165,900

2,976,100

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

1,129,200

1,105,700

Level 3 assets indicator The volume of the level 3 securities portfolio where fair value is based on data which is not observable on the market and this data materially affects the fair value.

367,800

325,000

Cross-jurisdictional claims indicator According to the Basel methodology, claims on foreign counterparties are included in calculations except for derivatives.

5,484,100

5,482,600

Cross-jurisdictional liabilities indicator According to the Basel methodology, liabilities to foreign counterparties are included in calculations except for derivatives.

3,504,700

3,363,800

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