12 CFR 217.406 – Short-term wholesale funding score
(a) General. Except as provided in § 217.400(b)(3)(ii), a global systemically important BHC’s short-term wholesale funding score is equal to:
(1) The average of the global systemically important BHC’s weighted short-term wholesale funding amount (defined in paragraph (b) of this section);
(2) Divided by the global systemically important BHC’s average risk-weighted assets; and
(3) Multiplied by a fixed factor of 350.
(b) Weighted short-term wholesale funding amount. (1) 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.
(2) Short-term wholesale funding includes the following components, each as defined in paragraph (c) of this section:
(i) 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;
(ii) 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;
(iii) 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;
(iv) 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
(v) All brokered deposits held at the bank holding company provided by a retail customer or counterparty.
(3) 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.
Table 1 to § 217.406—Short-Term Wholesale Funding Components and Weights
| Component of short-term wholesale funding | Remaining maturity of 30 days of less or no maturity | Remaining maturity of 31 to 90 days | Remaining maturity of 91 to 180 days | Remaining maturity of 181 to 365 days |
|---|---|---|---|---|
| 25 percent | 10 percent | 0 percent | 0 percent. | |
| (1) Secured funding transaction secured by a level 1 liquid asset; | ||||
| (2) Unsecured wholesale funding where the customer or counterparty is not a financial sector entity or a consolidated subsidiary thereof; | ||||
| (3) Brokered deposits provided by a retail customer or counterparty; and | ||||
| (4) Short positions where the borrowed asset does not qualify as either a level 1 liquid asset or level 2A liquid asset. | ||||
| 50 percent | 25 percent | 10 percent | 0 percent. | |
| (1) Secured funding transaction secured by a level 2A liquid asset; and | ||||
| (2) Covered asset exchanges involving the future exchange of a Level 1 liquid asset for a Level 2A liquid asset. | ||||
| 75 percent | 50 percent | 25 percent | 10 percent. | |
| (1) Secured funding transaction secured by a level 2B liquid asset; | ||||
| (2) Covered asset exchanges (other than those described in Category 2); and | ||||
| (3) Unsecured wholesale funding (other than unsecured wholesale funding described in Category 1). | ||||
| 100 percent | 75 percent | 50 percent | 25 percent. | |
| Any other component of short-term wholesale funding. |