[Federal Register Volume 89, Number 243 (Wednesday, December 18, 2024)]
[Notices]
[Pages 102908-102909]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-29981]
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FEDERAL RESERVE SYSTEM
[Docket No. OP-1863]
Regulation Q; Regulatory Capital Rule: 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 2024 aggregate global
indicator amounts, as required under the Board's rule regarding risk-
based capital surcharges for global systemically important bank holding
companies.
DATES: December 18, 2024.
FOR FURTHER INFORMATION CONTACT: Anna Lee Hewko, Associate Director,
(202) 250-1577, Brian Chernoff, Manager, (202) 731-8914, Alexander
Jiron, Senior Financial Institution Policy Analyst II, (202) 450-7350,
or Aakash Jani, Senior Financial Institution Policy Analyst I, (202)
941-8305, Division of Supervision and Regulation; or Jay Schwarz,
Deputy Associate General Counsel, (202) 452-2970, Mark Buresh, Senior
Special Counsel, (202) 499-0261, Jonah Kind, Senior Counsel, (202) 309-
5287, or David Imhoff, Senior Attorney (202) 834-3222, Legal Division.
Board of Governors of the Federal Reserve System, 20th and C 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 framework for determining risk-
based capital surcharges for global systemically important bank holding
companies (GSIB surcharge rule) establishes a methodology to identify
global systemically important bank holding companies (GSIBs) in the
United States 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
[[Page 102909]]
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 2024 aggregate
global indicator amounts, the Board uses the year-end 2023 euro-
denominated indicator amounts published by the BCBS and multiplies each
of the euro-denominated indicator amounts by 1.105, the euro to U.S.
dollar spot exchange rate on December 31, 2023.\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.
\5\ Foreign exchange rates provided by the BCBS. Available at
https://www.bis.org/bcbs/gsib/reporting_instructions.htm.
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The aggregate global indicator amounts expressed in U.S. dollars
for purposes of the 2024 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 2024
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Aggregate global
Category Systemic indicator indicator amount (in
USD)
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Size........................................... Total exposures....................... $115,205,051,188,518
Interconnectedness............................. Intra-financial system assets......... 11,253,226,663,114
Intra-financial system liabilities.... 11,388,383,441,235
Securities outstanding................ 19,247,590,871,111
Substitutability............................... Payments activity..................... 3,527,103,136,881,927
Assets under custody.................. 219,479,268,261,988
Underwritten transactions in debt and 7,962,804,019,185
equity markets.
Complexity..................................... Notional amount of over-the-counter 733,514,990,056,729
(OTC) derivatives.
Trading and available-for-sale (AFS) 4,278,831,961,372
securities.
Level 3 assets........................ 803,127,442,989
Cross-jurisdictional activity.................. Cross-jurisdictional claims........... 28,416,427,492,687
Cross-jurisdictional liabilities...... 23,524,643,383,930
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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. 2024-29981 Filed 12-17-24; 8:45 am]
BILLING CODE 6210-01-P