OFR Publishes Tool for Monitoring Systemic Risk of Banks
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

María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer

Pierre-Etienne Chabanel
Brings expertise in technology and software solutions around banking regulation, whether deployed on-premises or in the cloud.

Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Previous Article
FED Paper Examines Impact of Governance Structures on CCyB DecisionsRelated Articles
EBA Finalizes Remuneration Standards for Investment Firms in EU
EBA finalized the two sets of draft regulatory technical standards on the identification of material risk-takers and on the classes of instruments used for remuneration under the Investment Firms Directive (IFD).
ECA Recommends Actions to Enhance Resolution Planning for Banks
EC published, in the Official Journal of the European Union, a notification that the European Court of Auditors (ECA) has published a special report on resolution planning in the Single Resolution Mechanism.
BoE Publishes Key Elements of the 2021 Stress Testing for Banks in UK
BoE published a scenario against which it will be stress testing banks in 2021, in addition to setting out the key elements of the 2021 stress test, guidance on the 2021 stress test, and the variable paths for the 2021 stress test.
PRA Proposes Rules on Identity Verification of Depositor Protection
PRA published a consultation paper (CP3/21) proposes rules regarding the timing of identity verification required for eligibility of depositor protection under the Financial Services Compensation Scheme (FSCS).
FSB Publishes Work Program for 2021
FSB published the work program for 2021, which reflects a strategic shift in priorities in the COVID-19 environment.
FCA Issues Update on Move to New Data Collection Platform
FCA announced that 50% firms have started using the new data collection platform RegData, which is slated to replace the existing platform known Gabriel.
Bundesbank Publishes Derivation Rules for Reporting by Banks
Bundesbank published Version 5.0 of the derivation rules for completeness check at the form level, with respect to the data quality of the European harmonized reporting system.
FED Revises Capital Planning and Stress Testing Requirements for Banks
FED finalized a rule that updates capital planning requirements to reflect the new framework from 2019 that sorts large banks into categories, with requirements that are tailored to the risks of each category.
ECB Releases Results of Bank Lending Survey for Fourth Quarter of 2020
ECB published results of the quarterly lending survey conducted on 143 banks in the euro area.
ESAs Publish Reporting Templates for Financial Conglomerates
ESAs published the final draft implementing technical standards on reporting of intra-group transactions and risk concentration of financial conglomerates subject to the supplementary supervision in EU.