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Notice

Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies

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AGENCY:

Board of Governors of the Federal Reserve System (Board).

ACTION:

Notice.

SUMMARY:

The Board is providing notice of the aggregate global indicator amounts for purposes of a calculation for 2017, 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 18, 2017.

Start Further Info

FOR FURTHER INFORMATION CONTACT:

Elizabeth MacDonald, Manager, (202) 475-6316, or Holly Kirkpatrick, Supervisory Financial Analyst, (202) 452-2796, Division of Supervision and Regulation; or Mark Buresh, Senior Attorney, (202) 452-5270, or Mary Watkins, 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.

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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]

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 Start Printed Page 600151.0541, which was the daily euro to U.S. dollar spot rate on December 30, 2016, as published by the European Central Bank (available at http://www.ecb.europa.eu/​stats/​eurofxref/​index.en.html).

The aggregate global indicator amounts for purposes of the 2017 Method 1 score calculation under § 217.404(b)(1)(i)(B) of the GSIB surcharge rule are:

Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2017

CategorySystemic indicatorAggregate global indicator amount (in USD)
SizeTotal exposures$80,007,062,645,840
InterconnectednessIntra-financial system assets8,257,981,060,346
Intra-financial system liabilities9,326,026,596,609
Securities outstanding14,058,608,335,249
SubstitutabilityPayments activity2,273,665,800,113,670
Assets under custody147,506,550,618,745
Underwritten transactions in debt and equity markets6,323,673,403,888
ComplexityNotional amount of over-the-counter (OTC) derivatives559,101,108,830,245
Trading and available-for-sale (AFS) securities3,628,156,457,081
Level 3 assets528,537,101,614
Cross-jurisdictional activityCross-jurisdictional claims19,688,183,709,288
Cross-jurisdictional liabilities17,261,218,426,372
Start Authority

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.

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By order of the Board of Governors of the Federal Reserve System, acting through the Director of the Division of Supervision and Regulation under delegated authority.

Ann E. Misback,

Secretary of the Board.

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Footnotes

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.

Back to Citation

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.

Back to Citation

[FR Doc. 2017-27161 Filed 12-15-17; 8:45 am]

BILLING CODE 6210-01-P