Featured Product

    OFR Publishes Tool for Monitoring Systemic Risk of Banks

    February 18, 2020

    OFR announced the publication of Bank Systemic Risk Monitor or BSRM. This Risk Monitor is a collection of key measures for monitoring systemic risks posed by the largest banks. These include systemic importance scores for international and US banks, Contagion Index of OFR, and other common measures of systemic risk, including total assets, leverage, and reliance on short-term wholesale funding. BSRM enhances and expands on the OFR G-SIB Scores Interactive Chart.

    The systemic importance scores were derived using a set of 12 financial indicators that have been developed by BCBS to identify the global systemically important banks (G-SIBs). G-SIB scores are calculated by averaging the five categories based on the BCBS 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, that a bank is required to maintain. Banking regulators may require capital surcharges that are calculated using a different methodology.

    Additionally, the Contagion Index of OFR measures the loss that could spill over to the rest of the financial system if a given bank were to default. This measure depends on the size of the bank, its leverage, and how connected it is to other financial institutions. Total assets, total equity, leverage, and the reliance of a bank on short-term wholesale funding are some other measures used to gauge systemic risk. 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. Three measures of a bank’s use of short-term wholesale funding are:

    • 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).
    • The Short-Term Funding Dependence (STF-Dependence) refers to the percentage of a bank’s STFA to its total liabilities.
    • The Short-Term Funding Coverage (STF-Coverage) compares the percentage of a bank’s STFA amount to its average weighted high-quality liquid assets.

     

    Related Links

    Keywords: Americas, US, Banking, Bank Systemic Risk Monitoring Tool, BSRM, Systemic Risk, G-SIV, Contagion Risk, G-SIB Score, BCBS, OFR

    Featured Experts
    Related Articles
    News

    HKMA Announces Repayment Deferment Under Payment Holiday Scheme

    HKMA, together with the Banking Sector Small and Medium-Size Enterprise (SME) Lending Coordination Mechanism, announced a ninety-day repayment deferment for trade facilities under the Pre-approved Principal Payment Holiday Scheme.

    August 05, 2020 WebPage Regulatory News
    News

    ESRB Paper Presents Alternative Approach to EBA Stress Test Proposal

    The Advisory Scientific Committee of ESRB published a response, in the form of an Insights Paper, to the EBA proposals for reforms to the stress testing framework in EU.

    August 05, 2020 WebPage Regulatory News
    News

    MAS Announces Key Initiatives to Support Adoption of SORA

    MAS announced several initiatives to support adoption of the Singapore Overnight Rate Average (SORA), which is administered by MAS.

    August 05, 2020 WebPage Regulatory News
    News

    BoE Updates Template and Definitions for Form ER

    BoE updated the reporting template for Form ER as well as the Form ER definitions, which contain guidance on the methodology to be used in calculating annualized interest rates.

    August 05, 2020 WebPage Regulatory News
    News

    PRA to Extend Temporary High Balance Coverage Amid COVID Crisis

    PRA published the policy statement PS19/20 on the final policy for extending coverage under the Financial Services Compensation Scheme (FSCS) for Temporary High Balance.

    August 04, 2020 WebPage Regulatory News
    News

    EBA Publishes Standards on Disclosure and Reporting of MREL and TLAC

    EBA published the final draft implementing technical standards for disclosures and reporting on the minimum requirements for own funds and eligible liabilities (MREL) and the total loss-absorbing capacity (TLAC) requirements in EU.

    August 03, 2020 WebPage Regulatory News
    News

    EBA Releases Erratum for Phase 2 Package on Reporting Framework 2.10

    EBA published an erratum for the phase 2 of technical package on the reporting framework 2.10.

    August 03, 2020 WebPage Regulatory News
    News

    EC Sets Out Updated Technical Information for Solvency II Calculations

    EC published the Implementing Regulation 2020/1145, which lays down technical information for calculation of technical provisions and basic own funds.

    August 03, 2020 WebPage Regulatory News
    News

    US Agencies Issue Statement on Additional COVID-19 Loan Accommodations

    FFIEC, on behalf of its members that include US Agencies such as CFPB, FDIC, FED, NCUA, and OCC, issued a joint statement that sets out prudent risk management and consumer protection principles for financial institutions to consider while working with borrowers.

    August 03, 2020 WebPage Regulatory News
    News

    PRA Consults on Implementation of Certain Provisions of CRD5

    PRA, via the consultation paper CP12/20, proposed changes to its rules, supervisory statements, and statements of policy to implement certain elements of the Capital Requirements Directive (CRD5).

    July 31, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5622