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. 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]

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 2023 aggregate global indicator amounts, the Board uses the year-end 2022 euro-denominated indicator ( printed page 87427) amounts published by the BCBS and multiplies each of the euro-denominated indicator amounts by 1.0666, the euro to U.S. dollar spot exchange rate on December 31, 2022.⁵

The aggregate global indicator amounts expressed in U.S. dollars for purposes of the 2023 method 1 score calculation under § 217.404(b)(1)(i)(B) of the GSIB surcharge rule are:

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.

88 FR 87426