Bank Systemic Risk Monitor - U.S. G-SIB Surcharges

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.



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.

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.

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Suggested Citation

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

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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.

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.