On disclosure of systemic importance indicators

May 18, 2020

May 18, 2020, Moscow — 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 2019 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

12/31/2019

12/31/2018

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

32,845,430

35,303,670

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;

2,452,100

2,895,900

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;

1,054,700

1,418,100

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.

6,575,500

5,229,600

Assets under custody indicator

Fair value of assets under management by the Group.

377,600

276,600

Underwriting activity indicator

Amount of clients’ securities placed by the Group/

298,800

167,200

OTC derivatives indicator

Nominal volume of the OTC derivatives

10,400,800

4,287,800

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

1,183,000

1,098,200

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.

1,377,100

1,114,800

Cross-jurisdictional claims indicator

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

3,965,200

4,063,600

Cross-jurisdictional liabilities indicator

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

1,456,300

3,737,000