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.

General Disclaimer

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. The OFR makes no warranty, express or implied, nor assumes any legal liability or responsibility for the accuracy, completeness, reliability, and usefulness of any information that is available through this website, nor represents that its use would not infringe on any privately owned rights.

Disclaimer Regarding Non-OFR Data and Information

For convenience and informational purposes only, the OFR may provide links and references to nongovernment sites. These sites may contain information that is copyrighted with restrictions on reuse. Permission to use copyrighted materials must be obtained from the original source and cannot be obtained from the OFR or from the U.S. Treasury Department. The OFR is not responsible for the content of external websites linked to or referenced from this site or from the OFR web server. The U.S. government, the U.S. Treasury Department, the Financial Stability Oversight Council, and the OFR neither endorse the data, information, content, materials, opinions, advice, statements, offers, products, services, presentation, or accuracy, nor make any warranty, express or implied, regarding these external websites. Please note that neither the U.S. Treasury Department nor the OFR controls, and cannot guarantee, the relevance, timeliness, or accuracy of third-party content or other materials. Users should be aware that when they select a link on this OFR website to an external website, they are leaving the OFR site.

Suggested Citation

Office of Financial Research, "OFR Bank Systemic Risk Monitor," refreshed quarterly and annually, https://www.financialresearch.gov/bank-systemic-risk-monitor/ (accessed ).

Please turn your device to landscape mode to view chart.

Substitutability is capped at 500

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.