Bank Systemic Risk Monitor - OFR Contagion Index

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 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.

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.

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.

Connectivity

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

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

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.