Bank Systemic Risk Monitor

The OFR Bank Systemic Risk Monitor (BSRM) is a collection of key measures for monitoring systemic risks posed by the largest banks. These include systemic importance scores for international and U.S. banks, the OFR’s Contagion Index, and other common measures of systemic risk.

The monitor enhances and expands upon the OFR G-SIB Scores Interactive Chart.

The Basel Committee on Banking Supervision, a group of international bank supervisors, utilizes a set of financial indicators to identify global systemically important banks (G-SIBs). A G-SIB is a bank whose failure could pose a threat to the international financial system. A bank designated as a G-SIB must hold more risk-based capital to enhance its resilience and is subject to additional regulatory oversight.

G-SIB scores are calculated by averaging the following five categories of the Basel Committee's assessment methodology: size, interconnectedness, substitutability, complexity, and cross-jurisdictional activity.

The calculated G-SIB scores and supervisory judgment determine the size of the capital add-on, or surcharge, which is shown in the legend. Banking regulators may require capital surcharges that are calculated using a different methodology. See U.S. G-SIB Surcharges for the Federal Reserve methodology applicable to U.S. G-SIBs.

Basel G-SIB capital surcharge %
1.0
1.5
2.0
2.5
3.0
3.5
4.0

OVERALL Basel G-SIB SCORE:

Year
Category
- Score
- Size
- Total Exposures
- Interconnectedness
- Intrafinancial Assets
- Intrafinancial Liabilities
- Securities Outstanding
- Substitutability
- Payments Activity
- Assets Under Custody
- Underwritten Transactions
- Trading Volume
- Complexity
- OTC Derivatives
- Trading and AFS Securities
- Level 3 Assets
- Cross-jurisdictional Activity
- Cross-jurisdictional Claims
- Cross-jurisdictional Liabilities

The Basel Committee list of G-SIBs for December 31 of a given year is posted in November of the following year. Supervisory judgment is used along with the quantitative risk scores to determine the final list of G-SIBs.

For information on the methodology, see OFR briefs: Systemic Importance Data Shed Light on Global Banking Risks; A Comparison of U.S. and International Global Systemically Important Banks; and Systemic Importance Indicators for 33 U.S. Bank Holding Companies: Overview of Recent Data.

For analysis of some other systemic importance indicators, see the OFR viewpoint from Size Alone is Not Sufficient to Identify Systemically Important Banks.

The raw data and methodology used in this chart can be found at the Bank for International Settlements.

Under the Basel methodology, five risk categories determine the G-SIB score.

Size: The failure of a larger bank is harder to resolve and can have a broader impact on the financial system. Size is measured using a single indicator of a bank's total exposures, which includes derivatives, securities financing transactions, and off-balance-sheet exposures.

Interconnectedness: A bank with a more extensive network of contractual obligations within the financial system can accelerate the spread of a financial shock. Interconnectedness is measured by three indicators: intra-financial system assets, intra-financial system liabilities, and securities issued by the bank.

Substitutability: A bank is more systemically important if it provides a service that would be difficult to replace if the bank were no longer able to provide that service. Prior to 2022, three indicators go into the measure of substitutability: payments activity, assets under custody, and underwriting activity. Beginning in 2022, a fourth indicator – trading volume - was added to the substitutability measure. The substitutability measure is capped at 500 in calculating the overall score.

Complexity: A bank with more complex operations can be more difficult to resolve, and its failure could have a broader impact within the financial system. Complexity is measured by three indicators: a bank's notional amount of over-the-counter derivatives, its trading and available-for-sale securities, and its illiquid and hard-to-value assets.

Cross-Jurisdictional Activity: The failure of a bank with international operations requires cross-border coordination to resolve and can have a far-reaching impact. Cross-jurisdictional risk is measured through two indicators: the bank’s cross-jurisdictional claims and its cross-jurisdictional liabilities.

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This OFR monitor is presented solely for informative purposes and should not be relied upon for financial decisions; it is not intended to provide any investment or financial advice. If you have any specific questions about any financial or other matter please consult an appropriately qualified professional. Please also consult the original source materials including source data and other references. The OFR may provide links and references to other sites outside of these monitor pages, which are provided for information only and do not constitute endorsement by the U.S. government, the U.S. Treasury Department, the Financial Stability Oversight Council, or the Office of Financial Research, of any organizations or any third-party data, content, materials, opinions, advice, statements, offers, products or services, including accuracy, completeness, reliability and usefulness. Please note that neither the U.S. Treasury Department nor the Office of Financial Research controls, and cannot guarantee the relevance, timeliness, or accuracy of third-party content or other materials.

Suggested Citation

Office of Financial Research. “OFR Bank Systemic Risk Monitor.” Basel Scores, refreshed annually. https://www.financialresearch.gov/bank-systemic-risk-monitor/ (accessed ).

U.S. G-SIBs are banks whose failure could pose a threat to the financial system. A U.S. G-SIB must hold more risk-based capital than a non-G-SIB. The size of the capital add-on, or surcharge, is calculated using two different methods. The higher of the two surcharges applies. The surcharges are shown in the legend.

The first method is based on the Basel Committee framework.
The second method (Method II) uses similar inputs to the first, but replaces the measure of substitutability with a measure of short-term wholesale funding. The Method II scores are calculated by summing the following five categories of the Federal Reserve Board’s assessment methodology: size, interconnectedness, complexity, cross-jurisdictional activity, and short-term wholesale funding.

For foreign banks, the data presented are limited to the activities of the U.S. operations.

G-SIB capital surcharge %
Exempt
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
> 6.5

OVERALL G-SIB SCORE:

Year
Category
- Score
- Size
- Total Exposures
- Interconnectedness
- Intrafinancial Assets
- Intrafinancial Liabilities
- Securities Outstanding
- Complexity
- OTC Derivatives
- Trading and AFS Securities
- Level 3 Assets
- Cross-jurisdictional Activity
- Cross-jurisdictional Claims
- Cross-jurisdictional Liabilities
- Short-term Wholesale Funding

U.S. banks’ risk scores under Method II are calculated using data from the FR Y-15 Snapshots Reports page of the Federal Financial Institutions Examination Council's National Information Center. The FR Y-15 Snapshot Report for December 31 of a given year is posted in November of the following year. Banks’ revisions through July or August of the posting year are reflected in the data. The chart displays the banks’ actual capital surcharges calculated for the posting year. As such, historical values are not recalculated to reflect banks’ resubmissions subsequent to the FR Y-15 Snapshot Report posting.

Banks with more than $50 billion in assets are required to complete the Board of Governors of the Federal Reserve System's report, Banking Organization Systemic Risk Report - FR Y-15, quarterly. The largest banks began reporting their short-term wholesale funding activity (Schedule G) in December 2016, while other banks first reported in December 2017 or June 2018.

The methodology used in this chart can be found at the Board of Governors of the Federal Reserve.

The five risk categories that go into U.S. banks' risk scores have a total of 10 risk indicators across them, in accordance with Method II.

Complexity: A bank with more complex operations can be more difficult to resolve, and its failure could have a broader impact within the financial system. Complexity is measured by three indicators: a bank’s notional amount of over-the-counter derivatives, its trading and available-for-sale securities, and its illiquid and hard-to-value assets.

Short-term Wholesale Funding: A bank's reliance on short-term wholesale funding increases its exposure to liquidity and funding risk. This risk is measured by comparing a bank's short-term funding amount to its average risk-weighted assets (RWA). RWA is measured over the prior four quarters. A bank's short-term funding amount is the daily average of its short-term funding obligations for the previous calendar year, weighted by factors related to maturity and liquidity.

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Suggested Citation

Office of Financial Research. “OFR Bank Systemic Risk Monitor.” U.S. G-SIB Surcharges, refreshed annually. https://www.financialresearch.gov/bank-systemic-risk-monitor/ (accessed ).

Total assets, total equity, and leverage are common measures used to gauge systemic risk.

For foreign banks, the data presented are limited to the activities of the U.S. operations.

Year
Quarter
- Q1
- Q2
- Q3
- Q4

Data used in the calculation are obtained from the most recently reported values reported in the Board of Governors of the Federal Reserve System’s report, Consolidated Financial Statements for Holding Companies - FR Y-9C. The quarterly values from those reports correspond to the selected year and quarter.

Total Assets refers to the total assets reported on the bank's consolidated balance sheet in FR Y-9C. It includes loans, securities, trading assets, and real estate.

Total Equity is the equity capital reported on the bank’s consolidated balance sheet in FR Y-9C. It includes preferred and common stock, retained earnings, and non-controlling interests in consolidated subsidiaries.

Leverage measures the bank's equity capital relative to its assets. It is calculated by dividing the bank's total assets by its total equity.

Tier 1 Leverage Ratio refers to the leverage ratio reported on the bank's regulatory capital schedule in the FR Y-9C. It is calculated by dividing Tier 1 capital by the average total consolidated assets adjusted for certain deductions.

Supplementary Leverage Ratio refers to the supplementary leverage ratio reported on the bank's regulatory capital schedule in the FR Y-9C. It is reported only for advanced approaches holding companies and holding companies subject to category III capital standards.

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Suggested Citation

Office of Financial Research. “OFR Bank Systemic Risk Monitor.” OFR Contagion Index, refreshed quarterly. https://www.financialresearch.gov/bank-systemic-risk-monitor/ (accessed ).

The OFR’s Contagion Index measures the loss that could spill over to the rest of the financial system if a given bank were to default. It depends on the size of the bank, its leverage, and how connected it is to other financial institutions:

OFR Contagion Index = Connectivity X Net Worth X (Outside Leverage -1).

For foreign banks, the data presented are limited to the activities of the U.S. operations.

Year
Quarter
- Q1
- Q2
- Q3
- Q4

Data used in the calculation are obtained from the most recently reported values reported in the following Board of Governors of the Federal Reserve System’s reports: Consolidated Financial Statements for Holding Companies – FR Y-9C and Banking Organization Systemic Risk Report – FR Y-15. The quarterly values from those reports correspond to the selected year and quarter.

Connectivity is measured as the share of the bank's unsecured liabilities that are held by other financial institutions. It is the ratio of the bank's liabilities within the financial system to the bank's total liabilities. With higher connectivity, a bank’s failure has a potentially broader impact on the rest of the financial system.

Net worth, a measure of bank size, is the difference between a bank's assets and its liabilities. A larger bank's failure can have a broader impact on the financial system, other things being equal.

Outside leverage captures the vulnerability of the bank to shocks from the real side of the economy. It is the ratio of a bank's claims on nonfinancial entities to its net worth.

For analysis of the methodology, see OFR publications: How Likely is Contagion in Financial Networks?; Systemic Importance Indicators for 33 U.S. Bank Holding Companies: An Overview of Recent Data; and Contagion in Financial Networks.

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Suggested Citation

Office of Financial Research. “OFR Bank Systemic Risk Monitor.” Leverage/Assets/Equity, refreshed quarterly. https://www.financialresearch.gov/bank-systemic-risk-monitor/ (accessed ).

A bank's reliance on short-term wholesale funding increases its exposure to liquidity and funding risk. Three measures of a bank’s use of short-term wholesale funding are:

The Short-Term Funding Metric (STF-RWA) is the percentage of a bank’s short-term wholesale funding amount (STFA) to its average risk-weighted assets (RWA).

The Short-Term Funding Dependence (STF-Dependence) refers to the percentage of a bank’s STFA to its total liabilities.

The Short-Term Funding Coverage (STF-Coverage) compares the percentage of a bank’s STFA amount to its average weighted high-quality liquid assets (HQLA).

For foreign banks, the data presented are limited to the activities of the U.S. operations.

Year
Quarter
- Q1
- Q2
- Q3
- Q4

Data used in the calculations are obtained from the most recently reported values reported in the following Board of Governors of the Federal Reserve System’s reports: Consolidated Financial Statements for Holding Companies – FR Y-9C and Banking Organization Systemic Risk Report – FR Y-15. Additionally, banks’ HQLA are obtained from their public disclosures as required for the U.S. Liquidity Coverage Ratio rule. The quarterly values from those reports correspond to the selected year and quarter.

STFA for a bank is the daily average of its short-term funding obligations for the previous calendar year, weighted by factors related to maturity and liquidity. RWA is the average of the bank’s total risk-weighted assets over the prior four quarters. STF-RWA and STFA are reported in Schedule G of FR Y-15.

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Suggested Citation

Office of Financial Research. “OFR Bank Systemic Risk Monitor.” Short-term Wholesale Funding, refreshed quarterly. https://www.financialresearch.gov/bank-systemic-risk-monitor/ (accessed ).

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