§217.406. Short-term wholesale funding score.
12 C.F.R. § 217.406
General. Except as provided in § 217.400(b)(3)(ii), a global systemically important BHC's short-term wholesale funding score is equal to:
The average of the global systemically important BHC's weighted short-term wholesale funding amount (defined in paragraph (b) of this section);
Divided by the global systemically important BHC's average risk-weighted assets; and
Multiplied by a fixed factor of 350.
Weighted short-term wholesale funding amount.
To calculate its weighted short-term wholesale funding amount, a global systemically important BHC must calculate the amount of its short-term wholesale funding on a consolidated basis for each business day of the previous calendar year and weight the components of short-term wholesale funding in accordance with Table 1 of this section.
Short-term wholesale funding includes the following components, each as defined in paragraph (c) of this section:
All funds that the bank holding company must pay under each secured funding transaction, other than an operational deposit, with a remaining maturity of 1 year or less;
All funds that the bank holding company must pay under all unsecured wholesale funding, other than an operational deposit, with a remaining maturity of 1 year or less;
The fair value of an asset as determined under GAAP that a bank holding company must return under a covered asset exchange with a remaining maturity of 1 year or less;
The fair value of an asset as determined under GAAP that the bank holding company must return under a short position to the extent that the borrowed asset does not qualify as a Level 1 liquid asset or a Level 2A liquid asset; and
All brokered deposits held at the bank holding company provided by a retail customer or counterparty.
For purposes of calculating the short-term wholesale funding amount and the components thereof, a bank holding company must assume that each asset or transaction described in paragraph (b)(2) of this section matures in accordance with the criteria set forth in 12 CFR 249.31.
Notes, amendments, and revision history
Authority
Authority: 12 U.S.C. 5365.
Source
Source: Reg. Q, 80 FR 49105, Aug. 14, 2015, unless otherwise noted.
Authority
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
Source: Reg. Q, 78 FR 62157, 62285, Oct. 11, 2013, unless otherwise noted.