Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies
Federal Register, Volume 83 Issue 238 (Wednesday, December 12, 2018)
Federal Register Volume 83, Number 238 (Wednesday, December 12, 2018)
Notices
Pages 63887-63888
From the Federal Register Online via the Government Publishing Office www.gpo.gov
FR Doc No: 2018-26850
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FEDERAL RESERVE SYSTEM
Docket No. OP-1640
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 aggregate global indicator amounts for purposes of a calculation for 2018, which is required under the Board's rule regarding risk-based capital surcharges for global systemically important bank holding companies (GSIB surcharge rule).
DATES: Applicable: December 12, 2018.
FOR FURTHER INFORMATION CONTACT: Elizabeth MacDonald, Manager, (202) 475-6316, or Sean Healey, Supervisory Financial Analyst, (202) 912-
4611, Division of Supervision and Regulation; or Mark Buresh, Counsel, (202) 452-5270, or Mary Watkins, Senior Attorney, (202) 452-3722, 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. The firm's Method 1 score is the sum of its weighted systemic indicator scores expressed in basis points. The GSIB surcharge for the firm is then the higher of the GSIB surcharge determined under Method 1 and a second method that 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\ The second method (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 1.1993, which was the daily euro to U.S. dollar spot rate on December 29, 2017, 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 2018 Method 1 score calculation under Sec. 217.404(b)(1)(i)(B) of the GSIB surcharge rule are:
Page 63888
Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2018
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Aggregate global
Category Systemic indicator indicator amount (in
USD)
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Size............................................ Total exposures........................ 87,573,483,134,570
Interconnectedness.............................. Intra-financial system assets.......... 8,318,335,066,526
Intra-financial system liabilities..... 9,730,031,597,197
Securities outstanding................. 16,202,976,535,511
Substitutability................................ Payments activity...................... 2,448,767,065,374,350
Assets under custody................... 171,019,921,278,856
Underwritten transactions in debt and 7,116,528,205,923
equity markets.
Complexity...................................... Notional amount of over-the-counter 602,822,111,266,476
(OTC) derivatives.
Trading and available-for-sale (AFS) 3,934,397,357,213
securities.
Level 3 assets......................... 464,078,515,309
Cross-jurisdictional activity................... Cross-jurisdictional claims............ 21,836,288,121,267
Cross-jurisdictional liabilities....... 19,161,780,782,485
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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.
By order of the Board of Governors of the Federal Reserve System, December 6, 2018.
Ann Misback,
Secretary of the Board.
FR Doc. 2018-26850 Filed 12-11-18; 8:45 am
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