[Federal Register Volume 84, Number 244 (Thursday, December 19, 2019)]
[Notices]
[Pages 69744-69745]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-27414]
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FEDERAL RESERVE SYSTEM
[Docket No. OP-1691]
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.
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SUMMARY: The Board is providing notice of the 2019 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: 2019 aggregate global indicator amounts effective: December 19,
2019.
FOR FURTHER INFORMATION CONTACT: Juan Climent, Manager, (202) 872-7526,
Sean Healey, Lead Financial Institution Policy Analyst, (202) 912-4611,
or Christopher Appel, Senior Financial Institution Policy Analyst II,
(202) 973-6862, Division of Supervision and Regulation or Mark Buresh,
Senior Counsel, (202) 452-5270, or Mary Watkins, Senior Attorney, (202)
452-
[[Page 69745]]
3722, Legal Division. Board of Governors of the Federal Reserve System,
20th and C Streets NW, Washington, DC 20551. For the hearing impaired
only, Telecommunications Device for the Deaf (TDD) users may contact
(202) 263-4869.
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. For each indicator, 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. The GSIB
surcharge for a firm is the higher of the GSIB surcharge determined
under Method 1 and a second method, Method 2, which weights size,
interconnectedness, cross-jurisdictional activity, complexity, and a
measure of a firm's reliance on wholesale funding (instead of
substitutability).\2\
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\1\ See 12 CFR 217.402, 217.404.
\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.
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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 scores of 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 values,
denominated in euros, each year. 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.\3\ Specifically, the Board multiplied each of the
euro-denominated indicator amounts made publicly available by the BCBS
by 1.1450, which was the daily euro to U.S. dollar spot rate on
December 31, 2018, provided by the BCBS (as published by the European
Central Bank, available at http://www.ecb.europa.eu/stats/eurofxref/index.en.html).
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\3\ 12 CFR 217.404(b)(1)(i)(B); 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/bankinforeg/basel/denominators.htm.
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The aggregate global indicator amounts for purposes of the 2019
Method 1 score calculation under Sec. 217.404(b)(1)(i)(B) of the GSIB
surcharge rule are:
Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2019
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Aggregate global
Category Systemic indicator indicator amount (in
USD)
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Size.......................................... Total exposures....................... 86,929,981,510,715
Interconnectedness............................ Intra-financial system assets......... 8,378,699,821,090
Intra-financial system liabilities.... 9,423,444,832,391
Securities outstanding................ 14,980,796,701,622
Substitutability.............................. Payments activity..................... 2,451,526,935,926,810
Assets under custody.................. 162,964,740,953,671
Underwritten transactions in debt and 6,508,969,472,114
equity markets.
Complexity.................................... Notional amount of over-the-counter 606,648,652,426,571
(OTC) derivatives.
Trading and available-for-sale (AFS) 3,572,783,522,209
securities.
Level 3 assets........................ 530,724,384,529
Cross-jurisdictional activity................. Cross-jurisdictional claims........... 21,901,114,980,308
Cross-jurisdictional liabilities...... 18,341,219,019,191
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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.
Board of Governors of the Federal Reserve System, December 16,
2019.
Ann Misback,
Secretary of the Board.
[FR Doc. 2019-27414 Filed 12-18-19; 8:45 am]
BILLING CODE 6210-01-P