Bank Systemic Risk Monitor - Short-term Wholesale Funding
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.
A bank's reliance on short-term wholesale funding increases its exposure to liquidity and funding risk.
For foreign banks, the data presented are limited to the activities of the U.S. operations.
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.
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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/short-term-wholesale-funding/ (accessed ).
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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.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.