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.
Keywords: Americas, US, Banking, Bank Systemic Risk Monitoring Tool, BSRM, Systemic Risk, G-SIV, Contagion Risk, G-SIB Score, BCBS, OFR
Across 35 years in banking, Blake has gained deep insights into the inner working of this sector. Over the last two decades, Blake has been an Operating Committee member, leading teams and executing strategies in Credit and Enterprise Risk as well as Line of Business. His focus over this time has been primarily Commercial/Corporate with particular emphasis on CRE. Blake has spent most of his career with large and mid-size banks. Blake joined Moody’s Analytics in 2021 after leading the transformation of the credit approval and reporting process at a $25 billion bank.
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