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Regulation Q; Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies
The Board is providing notice of the 2021 aggregate global indicator amounts, as required under the Board's rule regarding risk- based capital surcharges for global systemically...
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.[]
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 weighs size, interconnectedness, cross-jurisdictional activity, complexity, and a measure of the firm's reliance on short-term wholesale funding.[]
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.[]
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.[]
Specifically, to determine the 2021 aggregate global indicator amounts, the Board multiplied each of the euro-denominated indicator amounts made publicly available by the BCBS by 1.2271, which was the daily euro to U.S. dollar spot rate on December 31, 2020, as published by the European Central Bank.[]
The aggregate global indicator amounts for purposes of the 2021 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 2021
| Category |
Systemic indicator |
Aggregate global
indicator amount
(in USD) |
| Size |
Total exposures |
$104,442,849,410,183 |
| Interconnectedness |
Intra-financial system assets
Intra-financial system liabilities
Securities outstanding |
9,525,381,095,179
11,102,596,441,364
16,369,523,590,059 |
| Substitutability |
Payments activity
Assets under custody
Underwritten transactions in debt and equity markets |
3,056,139,808,380,645
211,665,077,772,201
10,045,419,091,782 |
| Complexity |
Notional amount of over-the-counter (OTC) derivatives
Trading and available-for-sale (AFS) securities
Level 3 assets |
640,457,925,001,269
4,158,476,687,737
642,954,578,909 |
| Cross-jurisdictional activity |
Cross-jurisdictional claims
Cross-jurisdictional liabilities |
25,173,500,130,034
20,496,206,443,399 |
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, December 13, 2021.
Ann E. Misback,
Secretary of the Board.