12 C.F.R. § 217.405

Current through September 30, 2024
Section 217.405 - Method 2 score
(a)General. A global systemically important BHC's method 2 score is equal to:
(1) The sum of:
(i) The global systemically important BHC's systemic indicator scores for the nine systemic indicators set forth Table 1 of this section, as determined under paragraph (b) of this section; and
(ii) The global systemically important BHC's short-term wholesale funding score, calculated pursuant to § 217.406 .
(b)Systemic indicator score. A global systemically important BHC's score for a systemic indicator is equal to:
(1) The amount of the systemic indicator, as reported by the bank holding company as of December 31 of the previous calendar year, expressed in billions of dollars;
(2) Multiplied by the coefficient corresponding to the systemic indicator set forth in Table 1 of this section.

Table 1 to § 217.405 -Coefficients for Systemic Indicators

Category Systemic indicator Coefficient value
(%)
SizeTotal exposures4.423
InterconnectednessIntra-financial system assets12.007
Intra-financial system liabilities12.490
Securities outstanding9.056
ComplexityNotional amount of over-the-counter (OTC) derivatives0.155
Trading and available-for-sale (AFS) securities30.169
Level 3 assets161.177
Cross-jurisdictional activityCross-jurisdictional claims9.277
Cross-jurisdictional liabilities9.926

12 C.F.R. §217.405

80 FR 49105, Aug. 14, 2015, as amended at 81 FR 90954, Dec. 16, 2016
81 FR 90954, 1/17/2017