[Federal Register Volume 88, Number 241 (Monday, December 18, 2023)]
[Notices]
[Pages 87426-87427]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-27671]


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FEDERAL RESERVE SYSTEM

[Docket No. OP-1825]


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 2023 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 2023 aggregate global indicator amounts are effective 
December 18, 2023.

FOR FURTHER INFORMATION CONTACT: Anna Lee Hewko, Associate Director, 
(202) 530-6260, Brian Chernoff, Manager, (202) 452-2952, Sarah Dunning, 
Financial Institution Policy Analyst III, (202) 475-6660, or Alexander 
Jiron, Senior Financial Institution Policy Analyst I, (202) 450-7350, 
Division of Supervision and Regulation; or Jay Schwarz, Assistant 
General Counsel, (202) 452-2970, Mark Buresh, Special Counsel, (202) 
452-5270, Jonah Kind, Senior Counsel, (202) 452-2045, or David Imhoff, 
Senior Attorney (202) 452-2249, Legal Division. Board of Governors of 
the Federal Reserve System, 20th and C, NW, Washington, DC 20551. For 
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. See 12 CFR 217.405.
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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 
2023 aggregate global indicator amounts, the Board uses the year-end 
2022 euro-denominated indicator

[[Page 87427]]

amounts published by the BCBS and multiplies each of the euro-
denominated indicator amounts by 1.0666, the euro to U.S. dollar spot 
exchange rate on December 31, 2022.\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/supervisionreg/basel/denominators.htm.
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    The aggregate global indicator amounts expressed in U.S. dollars 
for purposes of the 2023 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 2023
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                                                                                     Aggregate global indicator
                  Category                             Systemic indicator                  amount (in USD)
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Size........................................  Total exposures.....................           109,474,896,520,080
Interconnectedness..........................  Intra-financial system assets.......            10,797,704,338,692
                                              Intra-financial system liabilities..            10,984,283,231,717
                                              Securities outstanding..............            17,155,484,808,186
Substitutability............................  Payments activity...................         3,319,207,880,734,470
                                              Assets under custody................           207,756,162,356,981
                                              Underwritten transactions in debt                6,968,666,666,539
                                               and equity markets.
Complexity..................................  Notional amount of over-the-counter            651,492,378,031,994
                                               (OTC) derivatives.
                                              Trading and available-for-sale (AFS)             3,857,352,737,659
                                               securities.
                                              Level 3 assets......................               724,453,375,901
Cross-jurisdictional activity...............  Cross-jurisdictional claims.........            26,802,729,249,960
                                              Cross-jurisdictional liabilities....            22,471,554,408,190
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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.
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    \5\ Foreign exchange rates provided by the BCBS. Available at 
https://www.bis.org/bcbs/gsib/reporting_instructions.htm.

    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. 2023-27671 Filed 12-15-23; 8:45 am]
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