12 CFR 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
| 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 |