(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
(%)
|
---|
Size | Total exposures | 4.423
|
Interconnectedness | Intra-financial system assets | 12.007
|
| Intra-financial system liabilities | 12.490
|
| Securities outstanding | 9.056
|
Complexity | Notional amount of over-the-counter (OTC) derivatives | 0.155
|
| Trading and available-for-sale (AFS) securities | 30.169
|
| Level 3 assets | 161.177
|
Cross-jurisdictional activity | Cross-jurisdictional claims | 9.277
|
| Cross-jurisdictional liabilities | 9.926 |
[Reg. Q, 80 FR 49105, Aug. 14, 2015, as amended at 81 FR 90954, Dec. 16, 2016]
authority: 12 U.S.C. 248(a), 321-338a, 481-486, 1462a, 1467a, 1818, 1828, 1831n, 1831o, 1831p-1, 1831w, 1835, 1844(b), 1851, 3904, 3906-3909, 4808, 5365, 5368, 5371, 5371 note, and sec. 4012, Pub. L. 116-136, 134 Stat. 281
source: Reg. Q, 78 FR 62157, 62285, Oct. 11, 2013, unless otherwise noted.
cite as: 12 CFR 217.405