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

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




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).


2019 aggregate global indicator amounts effective: December 19, 2019.

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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-Start Printed Page 697453722, 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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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]

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​stats/​eurofxref/​index.en.html).

The aggregate global indicator amounts for purposes of the 2019 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 2019

CategorySystemic indicatorAggregate global indicator amount (in USD)
SizeTotal exposures86,929,981,510,715
InterconnectednessIntra-financial system assets8,378,699,821,090
Intra-financial system liabilities9,423,444,832,391
Securities outstanding14,980,796,701,622
SubstitutabilityPayments activity2,451,526,935,926,810
Assets under custody162,964,740,953,671
Underwritten transactions in debt and equity markets6,508,969,472,114
ComplexityNotional amount of over-the-counter (OTC) derivatives606,648,652,426,571
Trading and available-for-sale (AFS) securities3,572,783,522,209
Level 3 assets530,724,384,529
Cross-jurisdictional activityCross-jurisdictional claims21,901,114,980,308
Cross-jurisdictional liabilities18,341,219,019,191
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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.

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Board of Governors of the Federal Reserve System, December 16, 2019.

Ann Misback,

Secretary of the Board.

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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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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​bankinforeg/​basel/​denominators.htm.

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[FR Doc. 2019-27414 Filed 12-18-19; 8:45 am]