[Federal Register Volume 81, Number 9 (Thursday, January 14, 2016)]
[Notices]
[Pages 1948-1949]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-00589]


-----------------------------------------------------------------------

FEDERAL RESERVE SYSTEM

[Docket No. 1530 RIN 7100 AE 44]


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.

ACTION: Notice.

-----------------------------------------------------------------------

SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
is providing this notice pursuant to the Board's rule regarding risk-
based capital surcharges for global systemically important bank holding 
companies (GSIB surcharge rule). The GSIB surcharge rule provides that 
the Board will publish each year the aggregate global indicator amounts 
for purposes of a calculation required under the rule. Accordingly, and 
pursuant to the GSIB surcharge rule, the Board is hereby publishing the 
aggregate global indicator amounts for 2015.

DATES: Effective: January 14, 2016.

FOR FURTHER INFORMATION CONTACT: Anna Lee Hewko, Deputy Associate 
Director, (202) 530-6260, Constance M. Horsley, Assistant Director, 
(202) 452-5239, Juan C. Climent, Manager, (202) 872-7526, or Holly 
Kirkpatrick, Supervisory Financial Analyst, (202) 452-2796, Division of 
Banking Supervision and Regulation; or Benjamin McDonough, Special 
Counsel, (202) 452-2036, or Mark Buresh, Senior Attorney, (202) 452-
5270, 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.

[[Page 1949]]

The firm's Method 1 score is the sum of its weighted systemic indicator 
scores. 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 reliance on wholesale funding (instead of substitutability).\2\
---------------------------------------------------------------------------

    \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.
---------------------------------------------------------------------------

    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 in euros 
each year. To account for changes in currency values, the GSIB 
surcharge rule indicates that the Board will publish the aggregate 
global indicator amounts each year in U.S. dollars.\3\
---------------------------------------------------------------------------

    \3\ 12 CFR 217.404(b)(1)(i)(B); 80 FR 49082, 49086-87 (August 
14, 2015).
---------------------------------------------------------------------------

    The aggregate global indicator amounts for purposes of the Method 1 
score calculation under the GSIB surcharge rule for 2015, which were 
calculated as part of the end-2014 GSIB assessment, are:

                        Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2015
----------------------------------------------------------------------------------------------------------------
                                                                                     Aggregate global indicator
                  Category                             Systemic indicator             amount in USD  (end-2014
                                                                                             assessment)
----------------------------------------------------------------------------------------------------------------
Size........................................  Total exposures.....................            89,657,702,623,292
Interconnectedness..........................  Intra-financial system assets.......             9,553,265,287,432
                                              Intra-financial system liabilities..            10,766,503,932,080
                                              Securities outstanding..............            14,829,559,920,658
Substitutability/financial institution        Payments activity...................         2,588,833,244,898,340
 infrastructure.                              Assets under custody................           141,055,159,810,929
                                              Underwritten transactions in debt                6,457,421,866,621
                                               and equity markets.
Complexity..................................  Notional amount of over-the-counter            773,613,780,418,221
                                               (OTC) derivatives.                              3,983,442,843,602
                                              Trading and available-for-sale (AFS)
                                               securities.
                                              Level 3 assets......................               799,000,645,785
Cross-jurisdictional activity...............  Cross-jurisdictional claims.........            20,924,671,362,004
                                              Cross-jurisdictional liabilities....            19,029,188,523,805
----------------------------------------------------------------------------------------------------------------


    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, January 11, 2016.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2016-00589 Filed 1-13-16; 8:45 am]
 BILLING CODE 6210-01-P