[Federal Register Volume 82, Number 241 (Monday, December 18, 2017)]
[Notices]
[Pages 60014-60015]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-27161]


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FEDERAL RESERVE SYSTEM

[Docket No. R-1584]
RIN 7100 AE 89


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 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.

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.

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

[[Page 60015]]

1.0541, 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).
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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 2017 
Method 1 score calculation under Sec.  217.404(b)(1)(i)(B) of the GSIB 
surcharge rule are:

                        Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2017
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                                                                                     Aggregate global indicator
                    Category                             Systemic indicator                amount (in USD)
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Size...........................................  Total exposures..................           $80,007,062,645,840
Interconnectedness.............................  Intra-financial system assets....             8,257,981,060,346
                                                 Intra-financial system                        9,326,026,596,609
                                                  liabilities.
                                                 Securities outstanding...........            14,058,608,335,249
Substitutability...............................  Payments activity................         2,273,665,800,113,670
                                                 Assets under custody.............           147,506,550,618,745
                                                 Underwritten transactions in debt             6,323,673,403,888
                                                  and equity markets.
Complexity.....................................  Notional amount of over-the-                559,101,108,830,245
                                                  counter (OTC) derivatives.
                                                 Trading and available-for-sale                3,628,156,457,081
                                                  (AFS) securities.
                                                 Level 3 assets...................               528,537,101,614
Cross-jurisdictional activity..................  Cross-jurisdictional claims......            19,688,183,709,288
                                                 Cross-jurisdictional liabilities.            17,261,218,426,372
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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.
Ann E. Misback,
Secretary of the Board.
[FR Doc. 2017-27161 Filed 12-15-17; 8:45 am]
 BILLING CODE 6210-01-P