2020-27591. Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies
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Start Preamble
AGENCY:
Board of Governors of the Federal Reserve System (Board).
ACTION:
Notice.
SUMMARY:
The Board is providing notice of the 2020 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:
December 17, 2020.
Start Further InfoFOR FURTHER INFORMATION CONTACT:
Constance Horsley, Deputy Associate Director, (202) 452-5239, Mark Handzlik, Manager, (202) 475-6636, Naima Jefferson, Lead Financial Institution Policy Analyst, (202) 912-4613, Christopher Appel, Senior Financial Institution Policy Analyst II, (202) 973-6862, or Brendan Rowan, Senior Financial Institution Policy Analyst I, (202) 475-6685, Division of Start Printed Page 81924Supervision and Regulation; or Mark Buresh, Senior Counsel, (202) 452-5270, or Mary Watkins, Counsel, (202) 452-3722, Legal Division. Board of Governors of the Federal Reserve System, 20th and C Streets NW, Washington, DC 20551. For users of Telecommunications Device for the Deaf (TDD) contact (202) 263-4869.
End Further Info End Preamble Start Supplemental InformationSUPPLEMENTARY 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. 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. The GSIB surcharge for a firm is the higher of the GSIB surcharge determined under Method 1 and a second method, Method 2, which weights size, interconnectedness, cross-jurisdictional activity, complexity, and a measure of a firm's reliance on short-term wholesale funding.[2]
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 2020 aggregate global indicator amounts, the Board multiplied each of the euro-denominated indicator amounts made publicly available by the BCBS by 1.1234, which was the daily euro to U.S. dollar spot rate on December 31, 2019.[5]
The aggregate global indicator amounts for purposes of the 2020 Method 1 score calculation under § 217.404(b)(1)(i)(B) of the GSIB surcharge rule are:
Start SignatureAggregate Global Indicator Amounts in U.S. Dollars (USD) for 2020
Category Systemic indicator Aggregate global indicator amount (in USD) Size Total exposures 91,356,116,001,552 Interconnectedness Intra-financial system assets 8,711,746,598,677 Intra-financial system liabilities 9,745,958,746,356 Securities outstanding 16,507,336,812,775 Substitutability Payments activity 2,597,250,324,410,487 Assets under custody 181,254,610,899,160 Underwritten transactions in debt and equity markets 7,280,431,346,279 Complexity Notional amount of over-the-counter (OTC) derivatives 623,682,857,713,896 Trading and available-for-sale (AFS) securities 3,854,344,460,622 Level 3 assets 577,982,516,649 Cross-jurisdictional activity Cross-jurisdictional claims 22,968,366,792,194 Cross-jurisdictional liabilities 18,594,151,540,975 By order of the Board of Governors of the Federal Reserve System, acting through the Director of Supervision and Regulation under delegated authority.
Ann Misback,
Secretary of the Board.
Footnotes
1. See 12 CFR 217.402, 217.404.
Back to Citation2. 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.
Back to Citation3. The data used by the Board are available on the BCBS website at https://www.bis.org/bcbs/gsib/denominators/gsib_framework_denominators_end19_exercise.xlsx.
Back to Citation4. 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.
Back to Citation5. Data are provided by the BCBS (as published by the European Central Bank, available at http://www.ecb.europa.eu/stats/eurofxref/index.en.html).
Back to Citation[FR Doc. 2020-27591 Filed 12-16-20; 8:45 am]
BILLING CODE P
Document Information
- Published:
- 12/17/2020
- Department:
- Federal Reserve System
- Entry Type:
- Notice
- Action:
- Notice.
- Document Number:
- 2020-27591
- Dates:
- December 17, 2020.
- Pages:
- 81923-81924 (2 pages)
- Docket Numbers:
- Docket No. R-1734
- RINs:
- 7100-AG04
- PDF File:
- 2020-27591.pdf