Bank Systemic Risk Monitor - Leverage/Assets/Equity
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.
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.
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.
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Suggested CitationOffice of Financial Research, "OFR Bank Systemic Risk Monitor," refreshed quarterly and annually, https://www.financialresearch.gov/bank-systemic-risk-monitor/ (accessed ).
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Leverage
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
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
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.The Common Equity Tier 1 (CET1) Ratio
The Common Equity Tier 1 (CET1) Ratio is a key regulatory capital measure that compares a bank's highest quality capital to its risk-weighted assets. It represents the percentage of a bank's risk-weighted assets funded by the most loss-absorbing form of capital - primarily common stock and retained earnings.Total Assets
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
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.STF-RWA
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).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.
STF-Dependence
The Short-Term Funding Dependence (STF-Dependence) refers to the percentage of a bank’s STFA to its total liabilities.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.
STF-Coverage
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).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.