§ 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