Danske Bank A/S : Indicators for assessing systemically important banks 2023

Danske Bank Group

Indicators for assessing systemically important banks

1. Introduction

The Basel Committee on Basel Supervision (BCBS) has developed a methodology for identifying global systematic important banks (G-SIBs), based on the framework established by the Financial Stability Board (FSB). The BCBSs methodology applies an indicator-based measurement approach. The indicators are designed to reflect the different aspects of potential negative externalities of a bank's failure and its critical functions for the stability of the financial system. The European Banking Authority (EBA) has requested large institutions to disclose the indicators developed by the BCBS. Danske Bank is not considered a G-SIB, however with an overall exposure (Basel III leverage ratio exposure definition) exceeding EUR 200 billion, Danske Bank is required to disclose at least the 13 indicators on a consolidated basis. The indicators are presented below.

2. Principles for calculation of indicators

The data is prepared based on the definitions outlined in the BCBS's instructions for the end-2023G-SIB assessment exercise. However, these definitions are subject to interpretation and may not be directly comparable with other disclosures by Danske Bank. Differences may also arise as there is a requirement to use the regulatory scope of consolidation which differs from the consolidation definition applied under IFRSs. The reporting period is the financial year ending 31 December 2023.

General Bank Data

	Section 1 - General Information	GSIB	Response
	a. General information provided by the relevant supervisory authority:
	(1)	Country code			1001	DK
	(2) Bank name			1002	Danske Bank
	(3)	Reporting date (yyyy-mm-dd)			1003	2023-12-31
	(4)	Reporting currency			1004	DKK
	(5)	Euro conversion rate			1005	0,134175958
	(6)	Submission date (yyyy-mm-dd)	1006	2024-04-30
	b. General Information provided by the reporting institution:
	(1)	Reporting unit			1007	1.000.000
	(2)	Accounting standard	1008	IFRS
	(3)	Date of public disclosure (yyyy-mm-dd)	1009	2024-05-03
	(4)	Language of public disclosure	1010	EN
						https://danskebank.com/-/media/danske-bank-com/file-
						cloud/2024/4/indicators-for-assessing-systemically-
	(5)	Web address of public disclosure	1011	important-banks-
						2023.pdf?rev=6c0f7aad753a4aea8acd16547ccc8dfb&sc_l
						ang=da
	(6) LEI code	2015	MAES062Z21O4RZ2U7M96
Size Indicator
	Section 2 - Total Exposures	GSIB	Amount in million DKK
	a. Derivatives
	(1)	Counterparty exposure of derivatives contracts	1012	32.645
	(2)	Effective notional amount of written credit derivatives	1201	949
	(3)	Potential future exposure of derivative contracts	1018	112.886
	b. Securities financing transactions (SFTs)
	(1)	Adjusted gross value of SFTs	1013	274.787
	(2)	Counterparty exposure of SFTs			1014	11.601
	c. Other assets			1015	2.582.857
	d. Gross notional amount of off-balance sheet items
	(1)	Items subject to a 10% credit conversion factor (CCF)	1019	60.393
	(2)	Items subject to a 20% CCF			1022	116.343
	(3)	Items subject to a 40% CCF			2300	0
	(4)	Items subject to a 50% CCF			1023	526.847
	(5)	Items subject to a 100% CCF		1024	22.014
	e. Regulatory adjustments	1031	14.893
	f. Total exposures prior to regulatory adjustments (sum of items 2.a.(1) through 2.c, 0.1 times 2.d.(1), 0.2
	times 2.d.(2), 0.4 times 2.d.(3), 0.5 times 2.d.(4), and 2.d.(5))	1103	3.330.470
	g. Exposures of insurance subsidiaries not included in 2.f net of intragroup:
	(1)	On-balance sheet and off-balance sheet assets of insurance subsidiaries	1701	541.668
	(2)	Potential future exposure of derivatives contracts of insurance subsidiaries	1205	30.065
	(3)	Investment value in consolidated entities	1208	17.921
	h. Intragroup exposures included in 2.f to insurance subsidiaries reported in 2.g	2101	0
	i. Total exposures indicator, including insurance subsidiaries (sum of items 2.f, 2.g.(1) through 2.g.(2) minus
	2.g.(3) through 2.h)	1117	3.884.282

Interconnectedness Indicators

	Section 3 - Intra-Financial System Assets	GSIB	Amount in million DKK
	a. Funds deposited with or lent to other financial institutions	1216	16.519
	(1)	Certificates of deposit	2102	0
	b. Unused portion of committed lines extended to other financial institutions	1217	11.707
	c. Holdings of securities issued by other financial institutions
	(1)	Secured debt securities	2103	266.004
	(2)	Senior unsecured debt securities	2104	6.659
	(3)	Subordinated debt securities	2105	3.330
	(4) Commercial paper	2106	268
	(5)	Equity securities	2107	20.455
	(6)	Offsetting short positions in relation to the specific equity securities included in item 3.c.(5)	2108	575
	d. Net positive current exposure of SFTs with other financial institutions	1219	936
	e. OTC derivatives with other financial institutions that have a net positive fair value
	(1)	Net positive fair value	2109	14.400
	(2)	Potential future exposure	2110	58.379
	f. Intra-financial system assets indicator, including insurance subsidiaries (sum of items 3.a, 3.b through
	3.c.(5), 3.d, 3.e.(1), and 3.e.(2), minus 3.c.(6))	1215	396.082
	Section 4 - Intra-Financial System Liabilities	GSIB	Amount in million DKK
	a. Funds deposited by or borrowed from other financial institutions
	(1)	Deposits due to depository institutions	2111	70.774
	(2)	Deposits due to non-depository financial institutions	2112	195.182
	(3)	Loans obtained from other financial institutions	2113	19.375
	b. Unused portion of committed lines obtained from other financial institutions	1223	0
	c. Net negative current exposure of SFTs with other financial institutions	1224	579
	d. OTC derivatives with other financial institutions that have a net negative fair value
	(1)	Net negative fair value	2114	6.519
	(2)	Potential future exposure	2115	17.708
	e. Intra-financial system liabilities indicator, including insurance subsidiaries (sum of items 4.a.(1) through 4.d	1221	310.137
	Section 5 - Securities Outstanding	GSIB	Amount in million DKK
	a. Secured debt securities	2116	897.921
	b. Senior unsecured debt securities	2117	96.613
	c. Subordinated debt securities	2118	35.174
	d. Commercial paper	2119	5.228
	e. Certificates of deposit	2120	3.245
	f. Common equity	2121	155.103
	g. Preferred shares and any other forms of subordinated funding not captured in item 5.c.	2122	0
	h. Securities outstanding indicator, including the securities issued by insurance subsidiaries (sum of items 5.a	1226	1.193.284
Substitutability/Financial Institution Infrastructure Indicators
	Section 6 - Payments made in the reporting year (excluding intragroup payments)	GSIB	Amount in million DKK
	a. Australian dollars (AUD)	1061	55.281
	b. Canadian dollars (CAD)	1063	298.392
	c. Swiss francs (CHF)	1064	471.169
	d. Chinese yuan (CNY)	1065	3.729
	e. Euros (EUR)	1066	10.715.720
	f. British pounds (GBP)	1067	1.334.035
	g. Hong Kong dollars (HKD)	1068	10.254
	h. Indian rupee (INR)	1069	830
	i. Japanese yen (JPY)	1070	89.892
	j. Swedish krona (SEK)	1071	4.009.908
	k. Singapore dollar (SGD)	2133	5.653
	l. United States dollars (USD)	1072	7.624.405
	m. Payments activity indicator (sum of items 6.a through 6.l)	1073	24.619.267
	Section 7 - Assets Under Custody	GSIB	Amount in million DKK
	a. Assets under custody indicator	1074	1.190.165
	Section 8 - Underwritten Transactions in Debt and Equity Markets	GSIB	Amount in million DKK
	a. Equity underwriting activity	1075	0
	b. Debt underwriting activity	1076	255.088
	c. Underwriting activity indicator (sum of items 8.a and 8.b)	1077	255.088

	Section 9 - Trading Volume	GSIB	Amount in million DKK
	a. Trading volume of securities issued by other public sector entities, excluding intragroup transactions	2123	447.239
	b. Trading volume of other fixed income securities, excluding intragroup transactions	2124	1.954.324
	c. Trading volume fixed income sub-indicator (sum of items 9.a and 9.b)	2125	2.401.563
	d. Trading volume of listed equities, excluding intragroup	transactions	2126	10.873.309
	e. Trading volume of all other securities, excluding intragroup transactions	2127	68.019
	f. Trading volume equities and other securities sub-indicator (sum of items 9.d and 9.e)	2128	10.941.328
Complexity indicators
	Section 10 - Notional Amount of Over-the-Counter (OTC) Derivatives	GSIB	Amount in million DKK
	a. OTC derivatives cleared through a central counterparty	2129	29.062.644
	b. OTC derivatives settled bilaterally			1905	18.511.296
	c. Notional amount of over-the-counter (OTC) derivatives indicator, including insurance subsidiaries (sum of
	items 10.a and 10.b)	1227	47.573.940
	Section 11 - Trading and Available-for-Sale Securities	GSIB	Amount in million DKK
	a. Held-for-trading securities (HFT)	1081	324.983
	b. Available-for-sale securities (AFS)	1082	107.226
	c. Trading and AFS securities that meet the definition of Level 1 assets	1083	279.896
	d. Trading and AFS securities that meet the definition of Level 2 assets, with haircuts	1084	14.787
	e. Trading and AFS securities indicator (sum of items 11.a and 11.b, minus the sum of 11.c and 11.d)	1085	137.526
	Section 12 - Level 3 Assets		GSIB	Amount in million DKK
	a. Level 3 assets indicator, including insurance subsidiaries	1229	40.601
Cross-Jurisdictional Activity Indicators
	Section 13 - Cross-Jurisdictional Claims	GSIB	Amount in million DKK
	a. Total foreign claims on an ultimate risk basis	1087	1.090.421
	b. Foreign derivative claims on an ultimate risk basis	1146	241.171
	c. Cross-jurisdictional claims indicator (sum of items 13.a and 13.b)	2130	1.331.592
	Section 14 - Cross-Jurisdictional Liabilities	GSIB	Amount in million DKK
	a. Foreign liabilities on an immediate risk basis, excluding derivatives and including local liabilities in local cur	2131	1.383.215
	b. Foreign derivative liabilities on an immediate risk basis	1149	222.506
	c. Cross-jurisdictional liabilities indicator (sum of items 14.a and 14.b)	1148	1.605.721