88 FR 241 pgs. 87426-87427 - Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies
Type: NOTICEVolume: 88Number: 241Pages: 87426 - 87427
Pages: 87426, 87427Docket number: [Docket No. OP-1825]
FR document: [FR Doc. 2023-27671 Filed 12-15-23; 8:45 am]
Agency: Federal Reserve System
Official PDF Version: PDF Version
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FEDERAL RESERVE SYSTEM
[Docket No. OP-1825]
Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies
AGENCY:
Board of Governors of the Federal Reserve System (Board).
ACTION:
Notice.
SUMMARY:
The Board is providing notice of the 2023 aggregate global indicator amounts, as required under the Board's rule regarding risk-based capital surcharges for global systemically important bank holding companies (GSIB surcharge rule).
DATES:
The 2023 aggregate global indicator amounts are effective December 18, 2023.
FOR FURTHER INFORMATION CONTACT:
Anna Lee Hewko, Associate Director, (202) 530-6260, Brian Chernoff, Manager, (202) 452-2952, Sarah Dunning, Financial Institution Policy Analyst III, (202) 475-6660, or Alexander Jiron, Senior Financial Institution Policy Analyst I, (202) 450-7350, Division of Supervision and Regulation; or Jay Schwarz, Assistant General Counsel, (202) 452-2970, Mark Buresh, Special Counsel, (202) 452-5270, Jonah Kind, Senior Counsel, (202) 452-2045, or David Imhoff, Senior Attorney (202) 452-2249, Legal Division. Board of Governors of the Federal Reserve System, 20th and C, NW, Washington, DC 20551. For users of Telecommunications Device for the Deaf (TDD) and TTY-TRS, please call 711 from any telephone, anywhere in the United States.
SUPPLEMENTARY INFORMATION:
The Board's GSIB surcharge rule establishes a methodology to identify global systemically important bank holding companies in the United States (GSIBs) based on indicators that are correlated with systemic importance. 1 Under the GSIB surcharge rule, a firm must calculate its GSIB score using a specific formula (method 1). Method 1 uses five equally weighted categories that are correlated with systemic importance-size, interconnectedness, cross-jurisdictional activity, substitutability, and complexity-and subdivided into twelve systemic indicators.
Footnotes:
1 See 12 CFR 217.402, 217.404.
A firm divides its own measure of each systemic indicator by an aggregate global indicator amount. A firm's method 1 score is the sum of its weighted systemic indicator scores expressed in basis points. A firm that calculates a method 1 score of 130 basis points or more is identified as a GSIB under the GSIB surcharge rule. The GSIB surcharge for a firm is the higher of the GSIB surcharge determined under method 1 and a second method, method 2, which is calculated based on measures of size, interconnectedness, cross-jurisdictional activity, complexity, and the firm's reliance on short-term wholesale funding. 2
Footnotes:
2 Method 2 uses similar inputs to those used in method 1, but replaces the substitutability category with a measure of a firm's use of short-term wholesale funding. In addition, method 2 is calibrated differently from method 1. See 12 CFR 217.405.
[top] The aggregate global indicator amounts used in the score calculation under method 1 are based on data collected by the Basel Committee on Banking Supervision (BCBS). The BCBS amounts are determined based on the sum of the systemic indicator amounts as reported by the 75 largest U.S. and foreign banking organizations as measured by the BCBS, and any other banking organization that the BCBS includes in its sample total for that year. The BCBS publicly releases these amounts, denominated in euros, each year. 3 Pursuant to the GSIB surcharge rule, the Board publishes the aggregate global indicator amounts each year as denominated in U.S. dollars using the euro-dollar exchange rate provided by the BCBS. 4 Specifically, to determine the 2023 aggregate global indicator amounts, the Board uses the year-end 2022 euro-denominated indicator
Footnotes:
3 The data used by the Board are available on the BCBS website at https://www.bis.org/bcbs/gsib/denominators.htm.
4 12 CFR 217.404(b)(1)(i)(B); see also 80 FR 49082, 49086-87 (August 14, 2015). In addition, the Board maintains the GSIB Framework Denominators on its website, available at https://www.federalreserve.gov/supervisionreg/basel/denominators.htm.
The aggregate global indicator amounts expressed in U.S. dollars for purposes of the 2023 method 1 score calculation under §?217.404(b)(1)(i)(B) of the GSIB surcharge rule are:
| Category | Systemic indicator | Aggregate global indicator amount (in USD) |
|---|---|---|
| Size | Total exposures | 109,474,896,520,080 |
| Interconnectedness | Intra-financial system assets | 10,797,704,338,692 |
| Intra-financial system liabilities | 10,984,283,231,717 | |
| Securities outstanding | 17,155,484,808,186 | |
| Substitutability | Payments activity | 3,319,207,880,734,470 |
| Assets under custody | 207,756,162,356,981 | |
| Underwritten transactions in debt and equity markets | 6,968,666,666,539 | |
| Complexity | Notional amount of over-the-counter (OTC) derivatives | 651,492,378,031,994 |
| Trading and available-for-sale (AFS) securities | 3,857,352,737,659 | |
| Level 3 assets | 724,453,375,901 | |
| Cross-jurisdictional activity | Cross-jurisdictional claims | 26,802,729,249,960 |
| Cross-jurisdictional liabilities | 22,471,554,408,190 |
Authority: 12 U.S.C. 248(a), 321-338a, 481-486, 1462a, 1467a, 1818, 1828, 1831n, 1831o, 1831p-l, 1831w, 1835, 1844(b), 1851, 3904, 3906-3909, 4808, 5365, 5368, 5371.
Footnotes:
5 Foreign exchange rates provided by the BCBS. Available at https://www.bis.org/bcbs/gsib/reporting_instructions.htm.
By order of the Board of Governors of the Federal Reserve System, acting through the Director of Supervision and Regulation under delegated authority.
Ann E. Misback,
Secretary of the Board.
[FR Doc. 2023-27671 Filed 12-15-23; 8:45 am]
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