Home
gpo.gov
govinfo.gov

e-CFR Navigation Aids

Browse

Simple Search

Advanced Search

 — Boolean

 — Proximity

 

Search History

Search Tips

Corrections

Latest Updates

User Info

FAQs

Agency List

Incorporation By Reference

eCFR logo

Related Resources

Electronic Code of Federal Regulations

We invite you to try out our new beta eCFR site at https://ecfr.federalregister.gov. We have made big changes to make the eCFR easier to use. Be sure to leave feedback using the Help button on the bottom right of each page!

e-CFR data is current as of September 21, 2020

Title 12Chapter IISubchapter APart 217Subpart H → §217.404


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


§217.404   Method 1 score.

(a) General. A bank holding company's method 1 score is the sum of its systemic indicator scores for the twelve systemic indicators set forth Table 1 of this section, as determined under paragraph (b) of this section.

(b) Systemic indicator score. (1) Except as provided in paragraph (b)(2) of this section, the systemic indicator score in basis points for a given systemic indicator is equal to:

(i) The ratio of:

(A) The amount of that systemic indicator, as reported by the bank holding company as of December 31 of the previous calendar year; to

(B) The aggregate global indicator amount for that systemic indicator published by the Board in the fourth quarter of that year;

(ii) Multiplied by 10,000; and

(iii) Multiplied by the indicator weight corresponding to the systemic indicator as set forth in Table 1 of this section.

(2) Maximum substitutability score. The sum of the systemic indicator scores for the indicators in the substitutability category (assets under custody, payments systems activity, and underwriting activity) will not exceed 100 basis points.

Table 1 to §217.404—Systemic Indicator Weights

CategorySystemic indicatorIndicator weight
SizeTotal exposures20 percent.
InterconnectednessIntra-financial system assets6.67 percent.
   Intra-financial system liabilities6.67 percent.
   Securities outstanding6.67 percent.
SubstitutabilityPayments activity6.67 percent.
   Assets under custody6.67 percent.
   Underwritten transactions in debt and equity markets6.67 percent.
ComplexityNotional amount of over-the-counter (OTC) derivatives6.67 percent.
   Trading and available-for-sale (AFS) securities6.67 percent.
   Level 3 assets6.67 percent.
Cross-jurisdictional activityCross-jurisdictional claims10 percent.
   Cross-jurisdictional liabilities10 percent.

[80 FR 49105, Aug. 14, 2015, as amended at 81 FR 90954, Dec. 16, 2016]

Need assistance?