89 FR 243 pgs. 102908-102909 - Regulation Q; Regulatory Capital Rule: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies
Type: NOTICEVolume: 89Number: 243Pages: 102908 - 102909
Pages: 102908, 102909Docket number: [Docket No. OP-1863]
FR document: [FR Doc. 2024-29981 Filed 12-17-24; 8:45 am]
Agency: Federal Reserve System
Official PDF Version: PDF Version
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FEDERAL RESERVE SYSTEM
[Docket No. OP-1863]
Regulation Q; Regulatory Capital Rule: 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 2024 aggregate global indicator amounts, as required under the Board's rule regarding risk-based capital surcharges for global systemically important bank holding companies.
DATES:
December 18, 2024.
FOR FURTHER INFORMATION CONTACT:
Anna Lee Hewko, Associate Director, (202) 250-1577, Brian Chernoff, Manager, (202) 731-8914, Alexander Jiron, Senior Financial Institution Policy Analyst II, (202) 450-7350, or Aakash Jani, Senior Financial Institution Policy Analyst I, (202) 941-8305, Division of Supervision and Regulation; or Jay Schwarz, Deputy Associate General Counsel, (202) 452-2970, Mark Buresh, Senior Special Counsel, (202) 499-0261, Jonah Kind, Senior Counsel, (202) 309-5287, or David Imhoff, Senior Attorney (202) 834-3222, Legal Division. Board of Governors of the Federal Reserve System, 20th and C NW, Washington, DC 20551. For the hearing impaired and 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 framework for determining risk-based capital surcharges for global systemically important bank holding companies (GSIB surcharge rule) establishes a methodology to identify global systemically important bank holding companies (GSIBs) in the United States 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
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.
5 ?Foreign exchange rates provided by the BCBS. Available at https://www.bis.org/bcbs/gsib/reporting_instructions.htm.
The aggregate global indicator amounts expressed in U.S. dollars for purposes of the 2024 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 | $115,205,051,188,518 |
| Interconnectedness | Intra-financial system assets | 11,253,226,663,114 |
| Intra-financial system liabilities | 11,388,383,441,235 | |
| Securities outstanding | 19,247,590,871,111 | |
| Substitutability | Payments activity | 3,527,103,136,881,927 |
| Assets under custody | 219,479,268,261,988 | |
| Underwritten transactions in debt and equity markets | 7,962,804,019,185 | |
| Complexity | Notional amount of over-the-counter (OTC) derivatives | 733,514,990,056,729 |
| Trading and available-for-sale (AFS) securities | 4,278,831,961,372 | |
| Level 3 assets | 803,127,442,989 | |
| Cross-jurisdictional activity | Cross-jurisdictional claims | 28,416,427,492,687 |
| Cross-jurisdictional liabilities | 23,524,643,383,930 |
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.
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. 2024-29981 Filed 12-17-24; 8:45 am]
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