FR Y-15 - Systemic Risk Report Guide¶
Overview¶
The FR Y-15 (Banking Organization Systemic Risk Report) collects systemic risk data used to: - Identify Global Systemically Important Banks (G-SIBs) - Calculate G-SIB capital surcharges - Monitor systemic risk indicators across the financial system
Filing Requirements¶
Who Files: - U.S. bank holding companies (BHCs) with consolidated total assets >= $100 billion - U.S. intermediate holding companies (IHCs) of foreign banking organizations with U.S. assets >= $100 billion - Any U.S.-based organization designated as a G-SIB
Frequency: Quarterly (as of 2018; previously annual)
OMB Control Number: 7100-0352
G-SIB Indicator Categories¶
The FR Y-15 measures five categories of systemic importance:
| Category | Weight | Key Metrics |
|---|---|---|
| Size | 20% | Total Exposures |
| Interconnectedness | 20% | Intra-financial assets/liabilities |
| Substitutability | 20% | Payment activity, custody assets, underwriting |
| Complexity | 20% | Derivatives, Level 3 assets, trading/AFS |
| Cross-jurisdictional Activity | 20% | Cross-border claims/liabilities |
Key Schedules¶
| Schedule | Description |
|---|---|
| Schedule A | Size Indicator |
| Schedule B | Interconnectedness Indicators |
| Schedule C | Substitutability Indicators |
| Schedule D | Complexity Indicators |
| Schedule E | Cross-Jurisdictional Activity |
| Schedule F | Ancillary Indicators |
| Schedule G | Short-Term Wholesale Funding (Method 2) |
G-SIB Surcharge Calculation¶
Method 1 (Basel Committee)¶
Based on equally-weighted indicator scores across 5 categories
Method 2 (U.S. Enhanced)¶
Replaces substitutability with short-term wholesale funding: - Weighted short-term wholesale funding - Average risk-weighted assets
Current U.S. G-SIBs (2024): | Bank | RSSD ID | Method 2 Surcharge | |------|---------|-------------------| | JPMorgan Chase | 1039502 | 4.5% | | Bank of America | 1073757 | 3.0% | | Citigroup | 1951350 | 3.0% | | Goldman Sachs | 2380443 | 3.0% | | Morgan Stanley | 2162966 | 3.0% | | Wells Fargo | 1120754 | 2.0% | | BNY Mellon | 3587146 | 1.5% | | State Street | 1111435 | 1.0% |
Relationship to Other Forms¶
- FR Y-9C: Many items pulled directly from Y-9C schedules
- FFIEC 101: Total exposure measure aligns with SLR denominator
- Basel GSIB Assessment: U.S. indicators submitted to BIS
Data Sources¶
- Instructions: FR Y-15 Instructions
- Data Dictionary:
csv/FR_Y15_SYSTEMIC_RISK.csv - FR Y-15 Snapshots: FFIEC FR Y-15 Data
Notes¶
- Data used in annual G-SIB surcharge calculations
- December 31 filing is critical for surcharge determination
- Method 2 surcharge typically higher for U.S. G-SIBs due to STWF