Notices. Notice
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/register/2024/12/18/2024-29981·A research copy — for the controlling text, always check the official state or federal source. Not legal advice.
BILLING CODE 6715-01-P 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. 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. 1 *See* 12 CFR 217.402, 217.404. 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 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. 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 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 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.* The aggregate global indicator amounts expressed in U.S. dollars for purposes of the 2024 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 2024 Category Systemic indicator Aggregate global indicator amount (in USD) 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 equity markets 7,962,804,019,185 Complexity Notional amount of over-the-counter
(OTC)derivatives 733,514,990,056,729 Trading and available-for-sale
(AFS)securities 4,278,831,961,372 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 *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]
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