[Federal Register Volume 81, Number 249 (Wednesday, December 28, 2016)]
[Notices]
[Pages 95612-95613]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-31371]


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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 (Board).

ACTION: Notice.

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SUMMARY: Under the rule of the Board regarding risk-based capital 
surcharges for global systemically important bank holding companies 
(GSIB surcharge rule), the Board is providing notice of the aggregate 
global indicator amounts for purposes of a calculation that is required 
under the GSIB surcharge rule for 2016.

DATES: Effective: December 28, 2016.

FOR FURTHER INFORMATION CONTACT: Juan C. Climent, Manager, (202) 872-
7526, 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.

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,

[[Page 95613]]

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\
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    \3\ 12 CFR 217.404(b)(1)(i)(B); 80 FR 49082, 49086-87 (August 
14, 2015). See also 81 FR 1948 (January 14, 2016). The indicators 
provided by the BCBS were converted to U.S. dollars using a euro-
dollar exchange rate of 1.0887, which was the daily euro to U.S. 
dollar spot rate on December 31, 2015 as published by the European 
Central Bank (available at http://www.ecb.europa.eu/stats/eurofxref/index.en.html).
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    The aggregate global indicator amounts for purposes of the Method 1 
score calculation for 2016 under Sec.  217.404(b)(1)(i)(B) of the GSIB 
surcharge rule are:

    Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2016
------------------------------------------------------------------------
                                                     Aggregate global
           Category                Systemic       indicator amount  (in
                                   indicator               USD)
------------------------------------------------------------------------
Size.........................  Total exposures.      $79,320,039,989,625
Interconnectedness...........  Intra-financial         8,816,910,460,396
                                system assets.
                               Intra-financial         9,687,826,596,896
                                system
                                liabilities.
                               Securities             13,608,077,367,510
                                outstanding.
Substitutability.............  Payments            2,463,117,556,410,060
                                activity.
                               Assets under          139,725,689,815,229
                                custody.
                               Underwritten            6,479,589,781,461
                                transactions in
                                debt and equity
                                markets.
Complexity...................  Notional amount       606,217,201,548,411
                                of over-the-
                                counter (OTC)
                                derivatives.
                               Trading and             3,543,254,277,404
                                available-for-
                                sale (AFS)
                                securities.
                               Level 3 assets..          637,946,551,935
Cross-jurisdictional activity  Cross-                 19,333,877,366,660
                                jurisdictional        17,293,028,759,406
                                claims.
                               Cross-
                                jurisdictional
                                liabilities.
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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, acting through the Director of the Division of Supervision 
and Regulation under delegated authority, December 22, 2016.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2016-31371 Filed 12-27-16; 8:45 am]
 BILLING CODE P