Notices. Notice
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/register/2018/12/12/2018-26850·A research copy — for the controlling text, always check the official state or federal source. Not legal advice.
BILLING CODE 6210-01-P 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 § 217.404(b)(1)(i)(B) of the GSIB surcharge rule are: Aggregate Global Indicator Amounts in U.S. Dollars
(USD)for 2018 Category Systemic indicator Aggregate global 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 equity markets 7,116,528,205,923 Complexity Notional amount of over-the-counter
(OTC)derivatives 602,822,111,266,476 Trading and available-for-sale
(AFS)securities 3,934,397,357,213 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]
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