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Electronic Code of Federal Regulations

e-CFR data is current as of February 20, 2020

Title 12Chapter IISubchapter APart 217Subpart H → §217.401


Title 12: Banks and Banking
PART 217—CAPITAL ADEQUACY OF BANK HOLDING COMPANIES, SAVINGS AND LOAN HOLDING COMPANIES, AND STATE MEMBER BANKS (REGULATION Q)
Subpart H—Risk-based Capital Surcharge for Global Systemically Important Bank Holding Companies


§217.401   Definitions.

As used in this subpart:

(a) Aggregate global indicator amount means, for each systemic indicator, the aggregate measure of that indicator, which is equal to the most recent annual dollar figure published by the Board that represents the sum of systemic indicator values of:

(1) The 75 largest global banking organizations, as measured by the Basel Committee on Banking Supervision; and

(2) Any other banking organization that the Basel Committee on Banking Supervision includes in its sample total for that year.

(b) Assets under custody means assets held as a custodian on behalf of customers, as reported by the bank holding company on the FR Y-15.

(c) Average risk-weighted assets means the four-quarter average of the measure of total risk-weighted assets associated with the lower of the bank holding company's common equity tier 1 risk-based capital ratios, as reported on the bank holding company's FR Y-9C for each quarter of the previous calendar year.

(d) Brokered deposit has the meaning set forth in 12 CFR 249.3.

(e) Consolidated subsidiary has the meaning set forth in 12 CFR 249.3.

(f) Covered asset exchange means a transaction in which a bank holding company has provided assets of a given liquidity category to a counterparty in exchange for assets of a higher liquidity category, and the bank holding company and the counterparty agreed to return such assets to each other at a future date. Categories of assets, in descending order of liquidity, are level 1 liquid assets, level 2A liquid assets, level 2B liquid assets, and assets that are not HQLA. Covered asset exchanges do not include secured funding transactions.

(g) Financial sector entity has the meaning set forth in 12 CFR 249.3.

(h) GAAP means generally accepted accounting principles as used in the United States.

(i) High-quality liquid asset (HQLA) has the meaning set forth in 12 CFR 249.3.

(j) Cross-jurisdictional claims means foreign claims on an ultimate risk basis, as reported by the bank holding company on the FR Y-15.

(k) Cross-jurisdictional liabilities means total cross-jurisdictional liabilities, as reported by the bank holding company on the FR Y-15.

(l) Intra-financial system assets means total intra-financial system assets, as reported by the bank holding company on the FR Y-15.

(m) Intra-financial system liabilities means total intra-financial system liabilities, as reported by the bank holding company on the FR Y-15.

(n) Level 1 liquid asset is an asset that qualifies as a level 1 liquid asset pursuant to 12 CFR 249.20(a).

(o) Level 2A liquid asset is an asset that qualifies as a level 2A liquid asset pursuant to 12 CFR 249.20(b).

(p) Level 2B liquid asset is an asset that qualifies as a level 2B liquid asset pursuant to 12 CFR 249.20(c).

(q) Level 3 assets means assets valued using Level 3 measurement inputs, as reported by the bank holding company on the FR Y-15.

(r) Notional amount of over-the-counter (OTC) derivatives means the total notional amount of OTC derivatives, as reported by the bank holding company on the FR Y-15.

(s) Operational deposit has the meaning set forth in 12 CFR 249.3.

(t) Payments activity means payments activity, as reported by the bank holding company on the FR Y-15.

(u) Retail customer or counterparty has the meaning set forth in 12 CFR 249.3.

(v) Secured funding transaction has the meaning set forth in 12 CFR 249.3.

(w) Securities outstanding means total securities outstanding, as reported by the bank holding company on the FR Y-15.

(x) Short position means a transaction in which a bank holding company has borrowed or otherwise obtained a security from a counterparty and sold that security, and the bank holding company must return the security to the initial counterparty in the future.

(y) Systemic indicator includes the following indicators included on the FR Y-15:

(1) Total exposures;

(2) Intra-financial system assets;

(3) Intra-financial system liabilities;

(4) Securities outstanding;

(5) Payments activity;

(6) Assets under custody;

(7) Underwritten transactions in debt and equity markets;

(8) Notional amount of over-the-counter (OTC) derivatives;

(9) Trading and available-for-sale (AFS) securities;

(10) Level 3 assets;

(11) Cross-jurisdictional claims; or

(12) Cross-jurisdictional liabilities.

(z) Total exposures means total exposures as reported by the bank holding company on the FR Y-15.

(aa) Trading and AFS securities means total adjusted trading and available-for-sale securities as reported by the bank holding company on the FR Y-15.

(bb) Underwritten transactions in debt and equity markets means total underwriting activity as reported by the bank holding company on the FR Y-15.

(cc) Unsecured wholesale funding has the meaning set forth in 12 CFR 249.3.

(dd) Wholesale customer or counterparty has the meaning set forth in 12 CFR 249.3.

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