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Electronic Code of Federal Regulations

e-CFR data is current as of February 13, 2020

Title 12Chapter IISubchapter APart 217Subpart H → §217.405


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


§217.405   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

CategorySystemic indicatorCoefficient 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

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

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