Global indicator amounts for identifying G-SIBs published

Aggregate global indicator amounts deployed for identifying 2017 global systemically important bank holding companies (G-SIBSs) in the United States have been published by the Federal Reserve in Monday’s Federal Register.

The indicators, required under the Fed’s Regulation Q (Regulatory Capital Rules: Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies) are part of the methodology for identifying the G-SIBs under its surcharge rule, which are correlated with systemic importance, the Fed said.

For example, according to a chart published with the notice, the aggregate global indicator amount under the category of “size” with systemic indicators of “total exposures” is slightly more than $80 billion.

In the notice, the Fed said that, under the GSIB surcharge rule, a firm must calculate its GSIB score using a specific formula (known as “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,” the notice states. “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).

The indicators are applicable upon publication in the Register (Monday, Dec. 18).

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

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