Banco de Sabadell S A : G-SIB 2024 (Versión en inglés)

G-SIB 2024

Disclosure for global systemically important banks

(G-SIBs) indicators as of 31 December 2024

30 April 2025 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 2024, 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-based measurement approach. The selected indicators shall reflect:

• Size

• Interconnectedness

• Substitutability/Financial Infrastructure

• Complexity

• Cross-Jurisdictional Activity

  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 2024.

* The G-SIBs shall be subject to a mandatory capital buffer (the 'G-SII buffer') 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.

Summary
Category	Individual indicador	2024	2023
	Total exposures as defined for use in the BIS Basel III leverage
Size	ratio1	237.985.278	236.275.641
Interconectedness	Intra-financial system assets	8.035.610	6.353.776
	Intra-financial system liabilities	8.829.861	7.909.006
	Securities outstanding	35.497.006	30.429.857
Substitutability / financial institution infrastructure	Payments activity	269.177.720	310.598.090
	Assets under custody	76.280.262	66.753.270
	Underwritten transactions in debt and equity markets	2.192.144	1.907.797
	Trading Volume	62.327.962	58.234.601
Complexity	Notional amount of over-the-counter (OTC) derivatives	202.080.853	188.207.641
	Level 3 Assets	199.112	195.269
	Trading and available for sale securities2	1.196.816	627.214
Cross-Jurisdictional Activity	Cross-Jurisdictional claims	99.919.631	89.510.545
	Cross-Jurisdictional liabilities	71.853.189	71.278.840

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 https://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.

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	Sabadell
(3) Reporting date (yyyy-mm-dd)	1003	2024-12-31
(4) Reporting currency	1004	EUR
(5) Euro conversion rate	1005	1
(6) Submission date (yyyy-mm-dd)	1006	2025-05-02
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	2025-04-30
(4) Language of public disclosure	1010	English
(5) Web address of public disclosure	1011	https://www.grupbancsabadell.com/corp/es/accionistas -e-inversores/informacion-economico-financiera.html
(6) LEI code	2015	SI5RG2M0WQQLZCXKRM20