Oct 27 -- Comment period extended to January 16, 2024.
https://www.federalregister.gov/d/2023-23672
Sept 1 -- The Board of Governors of the Federal Reserve System (Board) is inviting public comment on a notice of proposed rulemaking to amend the Board's rule that identifies and establishes risk-based capital surcharges for global systemically important bank holding companies (GSIBs). The proposal would also amend the Systemic Risk Report (FR Y–15), which is the source of inputs to the implementation of the GSIB framework under the capital rule. Comments must be received on or before November 30, 2023.
The changes set forth in the proposal would improve the precision of the GSIB surcharge and better measure systemic risk under the framework. For certain systemic indicators currently measured only as of a single date, the proposal would change to reporting of the average of daily or monthly values to reduce the effects of temporary changes to indicator values around measurement dates. To improve risk capture, the proposal would also make improvements to the measurement of some systemic indicators used in the GSIB surcharge framework and the framework for determining prudential standards for large banking organizations. In addition, the proposal would reduce cliff effects and enhance the sensitivity of the surcharge to changes in the method 2 score by calculating surcharges based on narrower score band ranges. Finally, the proposal would make several amendments to the FR Y–15 to improve the consistency of data reporting and systemic indicator measurement.
The Board of Governors of the Federal Reserve System (Board) adopted a final rule in 2015 that established a methodology for identifying U.S. global systemically important bank holding companies (GSIBs) and assigning a risk-based capital surcharge for the largest, most interconnected U.S.-based bank holding companies. The GSIB surcharge framework requires a GSIB to maintain additional capital to strengthen the firm's resiliency, thereby reducing the probability of its failure and the risks that the firm's failure or distress could pose to the U.S. financial system.
The Board is inviting public comment on a notice of proposed rulemaking (proposal) that would improve the measurement of systemic indicators under the GSIB surcharge framework and enhance the sensitivity of the surcharge to changes in a bank holding company's risk profile. By improving the calculation of surcharges, the proposal would better ensure that each GSIB maintains capital levels commensurate with its systemic footprint. The proposed changes include revisions to the Board's capital rule and amendments to the measurement and reporting of certain systemic indicators used in the GSIB surcharge framework. Certain of the indicators that the proposal would modify are also used for purposes of the Board's framework for determining prudential standards for large banking organizations (regulatory tiering framework). The proposed changes include revisions consistent with the framework used by the Basel Committee on Banking Supervision (Basel Committee) to identify GSIBs and assess their systemic importance.
GSIB Framework Denominators:
https://www.federalreserve.gov/supervisionreg/basel/denominators.htm
Joint agencies press release (8.29.23):
https://www.federalreserve.gov/newsevents/pressreleases/bcreg20230829a.htm
FRN:
https://www.federalregister.gov/d/2023-16896 [18 pages]
