Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies, 81923-81924 [2020-27591]

Agencies

[Federal Register Volume 85, Number 243 (Thursday, December 17, 2020)]
[Notices]
[Pages 81923-81924]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-27591]


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FEDERAL RESERVE SYSTEM

[Docket No. R-1734]
RIN 7100-AG04


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 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.

FOR 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

[[Page 81924]]

Supervision 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.

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. 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\
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    \1\ See 12 CFR 217.402, 217.404.
    \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.
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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 
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\
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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/gsib_framework_denominators_end19_exercise.xlsx.
    \4\ 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.
    \5\ 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).
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    The aggregate global indicator amounts for purposes of the 2020 
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 2020
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                                                                                      Aggregate global indicator
                   Category                             Systemic indicator                 amount (in USD)
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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               7,280,431,346,279
                                                and equity markets.
Complexity...................................  Notional amount of over-the-counter           623,682,857,713,896
                                                (OTC) derivatives.
                                               Trading and available-for-sale (AFS)            3,854,344,460,622
                                                securities.
                                               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
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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 Misback,
Secretary of the Board.
[FR Doc. 2020-27591 Filed 12-16-20; 8:45 am]
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