83 FR 63887 - Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies

FEDERAL RESERVE SYSTEM

Federal Register Volume 83, Issue 238 (December 12, 2018)

Page Range		63887-63888
FR Document		2018-26850

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).

Federal Register, Volume 83 Issue 238 (Wednesday, December 12, 2018)

[Federal Register Volume 83, Number 238 (Wednesday, December 12, 2018)]
[Notices]
[Pages 63887-63888]
From the Federal Register Online [www.thefederalregister.org]
[FR Doc No: 2018-26850]

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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.

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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\
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\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.
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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 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).
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\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.
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The aggregate global indicator amounts for purposes of the 2018
Method 1 score calculation under Sec. 217.404(b)(1)(i)(B) of the GSIB
surcharge rule are:

[[Page 63888]]

Aggregate Global Indicator Amounts in U.S. Dollars (USD) for 2018
----------------------------------------------------------------------------------------------------------------
Aggregate global
Category Systemic indicator 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 7,116,528,205,923
equity markets.
Complexity...................................... Notional amount of over-the-counter 602,822,111,266,476
(OTC) derivatives.
Trading and available-for-sale (AFS) 3,934,397,357,213
securities.
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]
BILLING CODE P

Federal Register / Vol. 83, No. 238 / Wednesday, December 12, 2018 / Notices 63887

The FR 1400 is authorized pursuant to for Price Quotation Form (RFP/RFPQ). equally weighted categories that are
sections 10 and 11 of the Federal The purpose of the RFPQ form was correlated with systemic importance—
Reserve Act (‘‘FRA’’), and section 342(c) absorbed into the FR 1400B. The size, interconnectedness, cross-
of the Dodd-Frank Wall Street Reform comment period for this notice expired jurisdictional activity, substitutability,
and Consumer Protection Act (‘‘Dodd- on November 27, 2018. The Board did and complexity—and subdivided into
Frank’’). Sections 10(3) and 11 of the not receive any comments. The twelve systemic indicators. For each
FRA (12 U.S.C. 243 and 248(l)) grant the revisions will be implemented as indicator, a firm divides its own
Board full authority to manage its proposed. measure of each systemic indicator by
buildings and its staff. Section 10(4) of Board of Governors of the Federal Reserve an aggregate global indicator amount.
the FRA (12 U.S.C. 244) authorizes the System, December 6, 2018. The firm’s Method 1 score is the sum of
Board to determine and prescribe the Michele Taylor Fennell, its weighted systemic indicator scores
manner in which its obligations shall be Assistant Secretary of the Board. expressed in basis points. The GSIB
incurred and its disbursements and [FR Doc. 2018–26816 Filed 12–11–18; 8:45 am]
surcharge for the firm is then the higher
expenses allowed and paid. Therefore, BILLING CODE 6210–01–P
of the GSIB surcharge determined under
the Board can solicit proposals and seek Method 1 and a second method that
the information in FR 1400 from weights size, interconnectedness, cross-
prospective vendors. FEDERAL RESERVE SYSTEM jurisdictional activity, complexity, and a
Additionally, the FR 1400 is measure of a firm’s reliance on
authorized by section 342(c) of Dodd- [Docket No. OP–1640 ] wholesale funding (instead of
Frank (12 U.S.C. 5452(c)), which substitutability).2
Regulation Q; Regulatory Capital
requires the Board to develop and Rules: Risk-Based Capital Surcharges The aggregate global indicator
implement standards and procedures for for Global Systemically Important Bank amounts used in the score calculation
the review and evaluation of contract Holding Companies under Method 1 are based on data
proposals and for hiring service collected by the Basel Committee on
providers that include a component that AGENCY: Board of Governors of the Banking Supervision (BCBS). The BCBS
gives consideration to the diversity of a Federal Reserve System (Board). amounts are determined based on the
prospective vendor and the fair ACTION: Notice. sum of the systemic indicator scores of
inclusion of women and minorities in the 75 largest U.S. and foreign banking
the workforce of such vendor and any SUMMARY: The Board is providing notice
of the aggregate global indicator organizations as measured by the BCBS,
subcontractor. and any other banking organization that
A vendor generally may request amounts for purposes of a calculation
for 2018, which is required under the the BCBS includes in its sample total for
confidential treatment for information that year. The BCBS publicly releases
submitted during the solicitation Board’s rule regarding risk-based capital
surcharges for global systemically these values, denominated in euros,
process, and the Board will review the each year. Pursuant to the GSIB
request to determine if the data may be important bank holding companies
(GSIB surcharge rule). surcharge rule, the Board publishes the
kept confidential under exemption 4 of aggregate global indicator amounts each
the Freedom of Information Act, which DATES: Applicable: December 12, 2018.
year as denominated in U.S. dollars
protects from disclosure trade secrets FOR FURTHER INFORMATION CONTACT: using the euro-dollar exchange rate
and commercial or financial information Elizabeth MacDonald, Manager, (202) provided by the BCBS.3 Specifically, the
(5 U.S.C. 552(b)(4)). 475–6316, or Sean Healey, Supervisory Board multiplied each of the euro-
Current actions: On September 28, Financial Analyst, (202) 912–4611, denominated indicator amounts made
2018, the Board published a notice in Division of Supervision and Regulation; publicly available by the BCBS by
the Federal Register (83 FR 49092) or Mark Buresh, Counsel, (202) 452– 1.1993, which was the daily euro to U.S.
requesting public comment for 60 days 5270, or Mary Watkins, Senior Attorney, dollar spot rate on December 29, 2017,
on the extension, with revision, of the (202) 452–3722, Legal Division. Board of as published by the European Central
Procurement Solicitation Package. To Governors of the Federal Reserve Bank (available at http://www.ecb.
better assist the Board’s competitive System, 20th and C Streets NW, europa.eu/stats/eurofxref/
vendor solicitation process, the Board Washington, DC 20551. For the hearing index.en.html).
has revised the FR 1400 by (1) impaired only, Telecommunications
reformatting and updating the Device for the Deaf (TDD) users may The aggregate global indicator
Solicitation Package, including the contact (202) 263–4869. amounts for purposes of the 2018
Solicitation, Offer, and Award Form Method 1 score calculation under
SUPPLEMENTARY INFORMATION: The
(SOA), Supplier Information Form, Past § 217.404(b)(1)(i)(B) of the GSIB
Board’s GSIB surcharge rule establishes
Performance Data Sheet, and Past surcharge rule are:
a methodology to identify global
Performance Questionnaire (FR 1400B); systemically important bank holding
2 The second method (Method 2) uses similar
(2) adding the Vendor Risk Management companies in the United States (GSIBs) inputs to those used in Method 1, but replaces the
Offeror Questionnaire (FR 1400C); and based on indicators that are correlated substitutability category with a measure of a firm’s
(3) revising the Subcontracting Report with systemic importance.1 Under the use of short-term wholesale funding. In addition,
(FR 1400D) to improve clarity and GSIB surcharge rule, a firm must Method 2 is calibrated differently from Method 1.
3 12 CFR 217.404(b)(1)(i)(B); 80 FR 49082, 49086–
gather specific information in calculate its GSIB score using a specific
87 (August 14, 2015). In addition, the Board
accordance with the Board’s formula (Method 1). Method 1 uses five maintains the GSIB Framework Denominators on its
amozie on DSK3GDR082PROD with NOTICES1

subcontracting goals. Lastly, the Board website, available at https://www.federal
has discontinued the use of the Request 1 See 12 CFR 217.402, 217.404. reserve.gov/bankinforeg/basel/denominators.htm.

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63888 Federal Register / Vol. 83, No. 238 / Wednesday, December 12, 2018 / Notices

AGGREGATE GLOBAL INDICATOR AMOUNTS IN U.S. DOLLARS (USD) FOR 2018
Aggregate global
Category Systemic indicator 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, subsidiary, Union Bank and Trust must be received at the Reserve Bank
481–486, 1462a, 1467a, 1818, 1828, 1831n, Company, both of Livingston, indicated or the offices of the Board of
1831o, 1831p–l, 1831w, 1835, 1844(b), 1851, Tennessee. Governors not later than January 7,
3904, 3906–3909, 4808, 5365, 5368, 5371.
Board of Governors of the Federal Reserve 2019.
By order of the Board of Governors of the System, December 7, 2018. A. Federal Reserve Bank of Richmond
Federal Reserve System, December 6, 2018. (Adam M. Drimer, Assistant Vice
Yao-Chin Chao,
Ann Misback, President) 701 East Byrd Street,
Assistant Secretary of the Board.
Secretary of the Board. Richmond, Virginia 23219. Comments
[FR Doc. 2018–26926 Filed 12–11–18; 8:45 am]
[FR Doc. 2018–26850 Filed 12–11–18; 8:45 am] can also be sent electronically to or
BILLING CODE P
BILLING CODE P Comments.applications@rich.frb.org:
1. Bay-Vanguard, MHC and BV
Financial, Inc., both of Sparrows Point,
FEDERAL RESERVE SYSTEM FEDERAL RESERVE SYSTEM
Maryland; to become bank holding
Formations of, Acquisitions by, and companies upon their conversion from
Change in Bank Control Notices; federally chartered saving and loan
Acquisitions of Shares of a Bank or Mergers of Bank Holding Companies
holding companies to state chartered
Bank Holding Company The companies listed in this notice bank holding companies. Applicants
The notificants listed below have have applied to the Board for approval, will retain Bay-Vanguard Bank,
applied under the Change in Bank pursuant to the Bank Holding Company Sparrows Point, Maryland.
Control Act (12 U.S.C. 1817(j)) and Act of 1956 (12 U.S.C. 1841 et seq.) 2. Bay-Vanguard, MHC and BV
§ 225.41 of the Board’s Regulation Y (12 (BHC Act), Regulation Y (12 CFR part Financial, Inc., both of Sparrows Point,
CFR 225.41) to acquire shares of a bank 225), and all other applicable statutes Maryland; to acquire Kopernik Bank,
or bank holding company. The factors and regulations to become a bank Baltimore, Maryland.
that are considered in acting on the holding company and/or to acquire the Board of Governors of the Federal Reserve
notices are set forth in paragraph 7 of assets or the ownership of, control of, or System, December 6, 2018.
the Act (12 U.S.C. 1817(j)(7)). the power to vote shares of a bank or Yao-Chin Chao,
The notices are available for bank holding company and all of the
Assistant Secretary of the Board.
immediate inspection at the Federal banks and nonbanking companies
[FR Doc. 2018–26806 Filed 12–11–18; 8:45 am]
Reserve Bank indicated. The notices owned by the bank holding company,
including the companies listed below. BILLING CODE P
also will be available for inspection at
the offices of the Board of Governors. The applications listed below, as well
Interested persons may express their as other related filings required by the
views in writing to the Reserve Bank Board, are available for immediate FEDERAL RETIREMENT THRIFT
indicated for that notice or to the offices inspection at the Federal Reserve Bank INVESTMENT BOARD
of the Board of Governors. Comments indicated. The applications will also be
available for inspection at the offices of Meeting
must be received not later than
December 27, 2018. the Board of Governors. Interested December 17, 2018, 11:00 a.m. (Telephonic)
A. Federal Reserve Bank of Atlanta persons may express their views in
(Kathryn Haney, Assistant Vice writing on the standards enumerated in Open Session
President) 1000 Peachtree Street NE, the BHC Act (12 U.S.C. 1842(c)). If the 1. Approval of the minutes for the
Atlanta, Georgia 30309. Comments can proposal also involves the acquisition of November 27, 2018 Board Member
also be sent electronically to a nonbanking company, the review also Meeting
Applications.Comments@atl.frb.org: includes whether the acquisition of the 2. Monthly Reports
amozie on DSK3GDR082PROD with NOTICES1

1. Amy Beth Windle Oakley, nonbanking company complies with the (a) Participant Activity
Cookeville, Tennessee, and Mark standards in section 4 of the BHC Act (b) Legislative Report
Edward Copeland, Ooltewah, (12 U.S.C. 1843). Unless otherwise (c) Investment Performance
Tennessee; to become members of the noted, nonbanking activities will be 3. 2018 Internal Audit Update
Windle/Copeland Family Control Group conducted throughout the United States. 4. 2019 Proposed Internal Audit
and thereby retain shares of Overton Unless otherwise noted, comments Schedule
Financial Services, Inc., and its regarding each of these applications 5. Vendor Risk Management Update

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Document Created: 2018-12-12 01:40:11
Document Modified: 2018-12-12 01:40:11

Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
Action		Notice.
Dates		Applicable: December 12, 2018.
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.
FR Citation		83 FR 63887