3-2506

SECTION 217.406—Short-Term Wholesale Funding Score

(a) General. Except as provided in section 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 section 217.406—Short-term wholesale funding components and weights
Component of short-term wholesale funding	Remaining maturity of 30 days or 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
Category 1:	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.
Category 2:	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.
Category 3:	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).
Category 4:	100 percent	75 percent	50 percent	25 percent
Any other component of short-term wholesale funding.