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
EU Amends CRD4 and CRD5 as Part of Capital Markets Recovery Package
EU published Directive 2021/338, which amends the Markets in Financial Instruments Directive (MiFID) II and the Capital Requirements Directives (CRD 4 and 5) to facilitate recovery from the COVID-19 crisis.
EU Committee Recommends Systemic Risk Buffer of 4.5% in Norway
The Standing Committee of the European Free Trade Association (EFTA) recommended that a systemic risk buffer level of 4.5% for domestic exposures can be considered appropriate for addressing the identified systemic risks to the stability of the financial system in Norway.
PRA Clarifies Approach to Onshoring of Credit Risk Rules for UK Banks
In a recent statement, PRA clarified its approach to the application of certain EU regulatory technical standards and EBA guidelines on standardized and internal ratings-based approaches to credit risk, following the end of the Brexit transition.
FSB Sets Out Work Priorities for 2021
In a recently published letter addressed to the G20 finance ministers and central bank governors, the FSB Chair Randal K. Quarles has set out the key FSB priorities for 2021.
EU Publishes Corrigendum to Revised Capital Requirements Regulation
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876).
ESAs Issue Statement on Application of Sustainability Disclosures Rule
ESAs published a joint supervisory statement on the effective and consistent application and on national supervision of the regulation on sustainability-related disclosures in the financial services sector (SFDR).
EC Consults on Crisis Management and Deposit Insurance Frameworks
EC published a public consultation on the review of crisis management and deposit insurance frameworks in EU.
HKMA Enhances Loan Guarantee Scheme to Alleviate Pressure on SMEs
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
EBA Proposes Standards for Supervisory Cooperation Under IFD
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE Addresses Banks in Scope of First Resolvability Assessment
BoE issued a letter to the CEOs of eight major UK banks that are in scope of the first Resolvability Assessment Framework (RAF) reporting and disclosure cycle.