[Federal Register Volume 83, Number 238 (Wednesday, December 12, 2018)]
[Notices]
[Pages 63887-63888]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-26850]


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

FEDERAL RESERVE SYSTEM

[Docket No. OP-1640 ]


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.

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

SUMMARY: The Board is providing notice of the aggregate global 
indicator amounts for purposes of a calculation for 2018, 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 12, 2018.

FOR FURTHER INFORMATION CONTACT: Elizabeth MacDonald, Manager, (202) 
475-6316, or Sean Healey, Supervisory Financial Analyst, (202) 912-
4611, Division of Supervision and Regulation; or Mark Buresh, Counsel, 
(202) 452-5270, or Mary Watkins, Senior 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\
---------------------------------------------------------------------------

    \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, 
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 1.1993, which was the daily euro to U.S. dollar spot rate on 
December 29, 2017, as published by the European Central Bank (available 
at http://www.ecb.europa.eu/stats/eurofxref/index.en.html).
---------------------------------------------------------------------------

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

    The aggregate global indicator amounts for purposes of the 2018 
Method 1 score calculation under Sec.  217.404(b)(1)(i)(B) of the GSIB 
surcharge rule are:

[[Page 63888]]



                        Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2018
----------------------------------------------------------------------------------------------------------------
                                                                                              Aggregate global
                    Category                                 Systemic indicator            indicator amount  (in
                                                                                                    USD)
----------------------------------------------------------------------------------------------------------------
Size............................................  Total exposures........................     87,573,483,134,570
Interconnectedness..............................  Intra-financial system assets..........      8,318,335,066,526
                                                  Intra-financial system liabilities.....      9,730,031,597,197
                                                  Securities outstanding.................     16,202,976,535,511
Substitutability................................  Payments activity......................  2,448,767,065,374,350
                                                  Assets under custody...................    171,019,921,278,856
                                                  Underwritten transactions in debt and        7,116,528,205,923
                                                   equity markets.
Complexity......................................  Notional amount of over-the-counter        602,822,111,266,476
                                                   (OTC) derivatives.
                                                  Trading and available-for-sale (AFS)         3,934,397,357,213
                                                   securities.
                                                  Level 3 assets.........................        464,078,515,309
Cross-jurisdictional activity...................  Cross-jurisdictional claims............     21,836,288,121,267
                                                  Cross-jurisdictional liabilities.......     19,161,780,782,485
----------------------------------------------------------------------------------------------------------------


    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, December 6, 2018.
Ann Misback,
Secretary of the Board.
[FR Doc. 2018-26850 Filed 12-11-18; 8:45 am]
 BILLING CODE P