```

[Federal Register Volume 89, Number 243 (Wednesday, December 18, 2024)]
[Notices]
[Pages 102908-102909]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-29981]

=======================================================================
-----------------------------------------------------------------------

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

[[Page 102909]]

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 Sec.  
217.404(b)(1)(i)(B) of the GSIB surcharge rule are:

                        Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2024
----------------------------------------------------------------------------------------------------------------
                                                                                             Aggregate global
                    Category                               Systemic indicator              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         7,962,804,019,185
                                                  equity markets.
Complexity.....................................  Notional amount of over-the-counter         733,514,990,056,729
                                                  (OTC) derivatives.
                                                 Trading and available-for-sale (AFS)          4,278,831,961,372
                                                  securities.
                                                 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]
BILLING CODE 6210-01-P
```