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 Federal Reserve System [Docket No. R-1734]
RIN 7100-AG04
 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.
 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 
                        ( print 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] 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: Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2020
Category
Systemic indicator
Aggregate global
                             indicator amount 
                             (in USD)Size
Total exposures
91,356,116,001,552Interconnectedness
Intra-financial system assets
8,711,746,598,677Intra-financial system liabilities
9,745,958,746,356Securities outstanding
16,507,336,812,775Substitutability
Payments activity
2,597,250,324,410,487Assets under custody
181,254,610,899,160Underwritten transactions in debt and equity markets
7,280,431,346,279Complexity
Notional amount of over-the-counter (OTC) derivatives
623,682,857,713,896Trading and available-for-sale (AFS) securities
3,854,344,460,622Level 3 assets
577,982,516,649Cross-jurisdictional activity
Cross-jurisdictional claims
22,968,366,792,194Cross-jurisdictional liabilities
18,594,151,540,975
 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.


# Footnotes

1.
    
                         
                        *See*12 CFR 217.402, 217.404. Back to Citation
 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. Back to Citation
 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.* Back to Citation
 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.* Back to Citation
 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*). Back to Citation


[FR Doc. 2020-27591 Filed 12-16-20; 8:45 am] BILLING CODE P