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US Federal Reserve Board Releases Global Indicator Amounts for G-SIB Surcharge Calculation
12/28/2016
US Federal Reserve published the aggregate global indicator amounts for the purposes of calculating the “Method 1” G-SIB Surcharge for 2016. The Federal Reserve Board’s G-SIB surcharge rule establishes a methodology to identify global systemically important bank holding companies in the United States based on certain indicators that are correlated with systemic importance. Under the G-SIB surcharge rule, a firm must calculate its G-SIB score using a specific formula (“Method 1”).
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. The indicators provided by the Basel Committee were converted to US dollars using a euro-dollar exchange rate of 1.0887, which was the daily euro to US dollar spot rate on December 31, 2015.
The global indicator amounts for 2016 have decreased from the 2015 values, except for the “[u]nderwritten transactions in debt and equity markets” indicator under Substitutability, for which there was a slight increase.
View the Federal Register notice.
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