### Appendix 1: The O-SII identification scoring methodology

A firm’s score is calculated based on its significance in a number of categories (eg ‘retail banking’). A firm’s significance in each category is measured as the firm’s share of PRA-regulated firms’ activity. A number of indicators (eg ‘value of retail deposits’) measure a firm’s activity within each category. The market shares in each indicator are averaged within categories using the weights outlined in the fourth column of Table 1. Subsequently, the overall score is calculated by averaging across the categories using the weights in the second column of Table 1.

Table 1: Categories and indicators to be used in O-SII scoring

Category |
Category weight (%) |
Indicators |
Weight within category (%) |

Retail Banking | 150 | Value of Retail Deposits | 44 |

Value of Retail Lending | 23 | ||

Number of Retail Customers | 33 | ||

Corporate Banking | 100 | Value of Corporate Deposits | 40 |

Value of Corporate Lending | 60 | ||

Intra-financial Banking | 100 | Intra-financial Liabilities (Deposits, Repos, Derivatives) | 50 |

Intra-financial Assets (Loans, Reverse Repos, Derivatives) | 50 | ||

Payment, Settlement & Clearing services | 100 | Daily Average Value of CHAPS transactions | 20 |

Daily Average Value of BACS transactions | 20 | ||

Daily Average Value of CREST transactions | 20 | ||

Daily Average Value of LCH transactions | 20 | ||

Daily Average Value of Faster Payments transactions | 20 | ||

Custody Services | 100 | Custody Assets | 100 |

Investment Banking | 100 | Trading Assets | 33 |

Trading Liabilities | 33 | ||

Volume of all debt instruments traded | 34 |

The PRA calculates each relevant entity’s score by:

(i) dividing the indicator value of each individual relevant entity by the aggregate amount of the respective indicator values summed across all institutions in scope of this framework, authorised in the UK (the ‘denominators’);

(ii) multiplying the resulting percentages by 10,000 to express the indicator scores in terms of basis points;

(iii) calculating the category score for each relevant entity by taking an average of the indicator scores in that category, calculated based on the indicator weights in the fourth column of Table 1; and

(iv) calculating the overall score for each relevant entity by taking an average of its six category scores, calculated based on the category weights in the second column of Table 1.

Therefore, the final score can be interpreted as a firm’s weighted average market share across the activities contributing to systemic importance, measured in basis points.

Third-country branches of overseas banks operating in the UK are not assessed as part of this framework but estimates of their activity are included in the denominators.

- 29/11/2022