[Federal Register Volume 87, Number 241 (Friday, December 16, 2022)]
[Notices]
[Pages 77120-77121]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-27207]


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FEDERAL RESERVE SYSTEM

[Docket No. OP-1794]


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 2022 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).

DATES: The 2022 aggregate global indicator amounts are effective 
December 16, 2022.

FOR FURTHER INFORMATION CONTACT: Juan Climent, Assistant Director (202) 
872-7526, Brian Chernoff, Manager (202) 452-2952, Christopher Appel, 
Lead Financial Institution Policy Analyst, (202) 973-6862, Naima 
Jefferson, Lead Financial Institution Policy Analyst, (202) 912-4613, 
or Alexander Jiron, Senior Financial Institution Policy Analyst I, 
(202) 450-7350, Division of Supervision and Regulation; or Mark Buresh, 
Special Counsel, (202) 452-5270, or Jonah Kind, Senior Counsel, (202) 
452-2045, Legal Division, Board of Governors of the Federal Reserve 
System, 20th and C Streets NW, Washington, DC 20551. For the hearing 
impaired and users of Telecommunications Device for the Deaf (TDD) and 
TTY-TRS, please call 711 from any telephone, anywhere in the United 
States.

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.
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    \1\ See 12 CFR 217.402, 217.404.
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    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. A 
firm that calculates a Method 1 score of 130 basis points or more is 
identified as a GSIB under the GSIB surcharge rule. The GSIB surcharge 
for a firm is the higher of the GSIB surcharge determined under Method 
1 and a second method, Method 2, which is calculated based on measures 
of size, interconnectedness, cross-jurisdictional activity, complexity, 
and the firm's reliance on short-term wholesale funding.\2\
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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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    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 amounts as 
reported by 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 amounts, denominated in euros, each year.\3\ 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.\4\ Specifically, to determine the 
2022 aggregate global indicator amounts, the Board uses the year-end 
2021 euro-denominated indicator amounts published by the BCBS and 
multiplies each of the euro-denominated indicator amounts by 1.1326, 
the euro to U.S. dollar spot exchange rate on December 31, 2021.\5\
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    \3\ The data used by the Board are available on the BCBS website 
at https://www.bis.org/bcbs/gsib/denominators.htm.
    \4\ 12 CFR 217.404(b)(1)(i)(B); see also 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.
    \5\ Foreign exchange rates provided by the BCBS. Available at 
https://www.bis.org/bcbs/gsib/denominators/gsib_framework_denominators_end21_exercise.xlsx.
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    The aggregate global indicator amounts expressed in U.S. dollars 
for purposes of the 2022 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 2022
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                                                                                             Aggregate global
                    Category                               Systemic indicator              indicator amount (in
                                                                                                   USD)
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Size...........................................  Total exposures.......................      111,533,327,831,520
Interconnectedness.............................  Intra-financial system assets.........       10,678,025,771,171
                                                 Intra-financial system liabilities....       11,153,556,096,294
                                                 Securities outstanding................       17,488,749,541,061
Substitutability...............................  Payments activity.....................    3,169,043,506,242,536
                                                 Assets under custody..................      236,228,379,798,411
                                                 Underwritten transactions in debt and         9,890,925,779,988
                                                  equity markets.

[[Page 77121]]

 
Complexity.....................................  Notional amount of over-the-counter         654,401,074,148,984
                                                  (OTC) derivatives.
                                                 Trading and available-for-sale (AFS)          4,195,914,629,999
                                                  securities.
                                                 Level 3 assets........................          706,810,510,301
Cross-jurisdictional activity..................  Cross-jurisdictional claims...........       26,851,595,167,043
                                                 Cross-jurisdictional liabilities......       23,056,216,512,890
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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 Supervision and Regulation 
under delegated authority.
Ann E. Misback,
Secretary of the Board.
[FR Doc. 2022-27207 Filed 12-15-22; 8:45 am]
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