§ 217.405 - Method 2 score.

§ 217.405 Method 2 score.

Cross Reference

Link to an amendment published at 81 FR 90954, Dec. 16, 2016.

(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 on the global systemically important BHC's most recent FR Y-15by 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 —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

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