Systemic Importance Indicators for 33 U.S. Bank 

Holding Companies: An Overview of Recent Data

by Meraj Allahrakha, Paul Glasserman, and H. Peyton Young

The authors used a new dataset collected by the Federal Reserve System to evaluate the 

systemic importance of the largest U.S. bank holding companies by comparing their scores 

on size, interconnectedness, complexity, global activity, and dominance in certain customer 

services (known as “substitutability”). They also applied an OFR financial connectivity index 

to the data to measure interconnectedness. Overall, the analysis reinforces the need for 

measuring, monitoring, and evaluating multiple aspects of systemic importance.

The Basel Committee on Banking Supervision, a group of banking supervisors from 28 jurisdictions, in 2011 created 

a set of 12 financial indicators to identify global systemically 

important banks (G-SIBs). These are banks whose failure could 

pose a threat to the international financial system.1 The most 

recent list identified 30 banks across the world as G-SIBs, 

including eight U.S. bank holding companies.

A bank designated as a G-SIB must meet a higher risk-based 

capital ratio to enhance its resilience, and is subject to additional 

regulatory oversight. This capital buffer represents an important 

new structural macroprudential tool for containing systemic 

risk. On December 9, 2014, the Federal Reserve proposed a 

draft rule implementing the G-SIB buffer for U.S. bank holding companies that could result in some banks holding larger 

capital buffers than those proposed by the Basel Committee.2 

The largest U.S. bank holding companies reported in August 

2014 their systemic importance indicators as of December 31, 

2013. This important new dataset provides more transparency 

and is a significant step in quantifying specific aspects of systemic importance. Our analysis showed: 

• The largest U.S. banks generally scored highest for all systemic risk indicators, but had relatively low Tier 1 leverage 

ratios compared to smaller banks.

• Several of the largest banks scored high in systemic importance because they dominate specific businesses, such as 

payments and asset custody services. Others scored high 

in complexity because of their trading and derivatives 

businesses.

• Seven of the eight U.S. G-SIBs had high values under the 

OFR’s connectivity index, introduced in an earlier OFR 

working paper.

• Basel Committee-recommended capital buffers would still 

leave U.S. G-SIBs with generally lower capital ratios than 

other large U.S. banks.

The Purpose of the Indicators

Annual systemic risk scores for major banks around the 

world all use the same indicators. In the United States, each 

U.S. bank holding company with over $50 billion in assets is 

required to annually disclose its systemic risk indicators to the 

Federal Reserve by filing a Form Y-15, or Banking Organization 

Systemic Risk Report.3 A total of 33 banks — including eight 

subsidiaries of foreign banks4 — filed the Y-15 for 2013 and the 

Federal Reserve published the data on its National Information 

Center website.5

The Basel Committee designates banks with the highest scores 

as G-SIBs and each must hold an additional capital buffer of up 

to 3.5 percent of its risk-weighted assets. The Financial Stability 

Board (FSB) in November 2011 published its first annual list 

of G-SIBs using a process developed with the Basel Committee. 

BRIEF

SERIES

OFFICE OF FINANCIAL RESEARCH

15-01 | February 12, 2015

Views and opinions are those of the authors and do not necessarily represent official positions or policy of the OFR or Treasury. OFR reports 

may be quoted without additional permission.
OFR Brief Series February 2015 | Page 2

The committee in July 2013 updated the methodology it uses 

to calculate a systemic risk score for each bank and released the 

latest scores on November 6, 2014.6 

Based on their 2013 scores, the 30 banks would be required 

to hold extra capital of 1 percentage point to 2.5 percentage 

points under the Basel Committee methodology.7 As noted, 

the Federal Reserve proposed potential alternative requirements 

with respect to funding which could result in even higher capital buffers for some U.S. bank holding companies. The Basel 

Committee suggests that national regulators phase in G-SIB 

capital buffers beginning in January 2016. 

The systemic risk indicators are grouped into five categories, 

as shown across the top of Figure 1. Each category has a total 

weight of 20 percent divided equally among its indicators.8 A 

description of the five categories and their indicators follows. 

Size. This category has a single indicator, a comprehensive 

measure showing a bank’s total exposures. The indicator reflects 

total assets plus the net value of certain securities financing 

transactions plus credit derivatives and commitments as well as 

counterparty risk exposures. This measure of size is also used to 

calculate a bank’s supplementary leverage ratio under the Basel 

III international banking accord. (Basel III established a supplementary leverage ratio requiring large banks to hold Tier 1 capital of at least 3 percent of total exposures to absorb losses; the 

U.S. rule set the ratio at 5 percent for bank holding companies.)

Interconnectedness. The failure of a bank to meet payment 

obligations to other banks can accelerate the spread of a financial system shock if the bank is highly interconnected. This 

category includes measurements of a bank’s total claims on 

the financial system, its total liabilities to the financial system, 

Bank Holding 

Company

(stock ID)

Size Interconnectedness Substitutability Complexity CrossJurisdictional 

Activity

2013

Score

(percent)

Total exposuressystem assetsIntrafinancial system liabilitiesIntrafinancial outstandingSecurities Payments activitycustodyAssets under activityUnderwriting derivativesAmount of OTC and AFS securitiesAdjusted trading Level 3 assetsForeign claimsliabilitiescross-jurisdictional Total

Weight (percent) 20 6.7 6.7 6.7 6.7 6.7 6.7 6.7 6.7 6.7 10 10

JPMorgan Chase & 

Co. (JPM) 3,570 422 544 599 321,458 21,320 508 68,004 446 69 693 674 5.05

Citigroup Inc. (C) 2,895 421 513 596 300,783 11,096 331 59,472 130 46 839 742 4.27

Bank of America Corp. 

(BAC) 2,696 294 220 489 83,705 136 390 54,887 203 32 387 246 3.06

Wells Fargo & Co. 

(WFC) 1,961 110 129 508 28,761 2,400 86 4,880 128 37 70 130 1.72

Goldman Sachs 

Group, Inc. (GS) 1,518 337 107 310 9,585 866 371 50,355 138 43 347 319 2.48

Morgan Stanley (MS) 1,283 535 182 231 9,812 1,369 262 43,611 316 23 353 470 2.60

U.S. Bancorp (USB) 525 11 22 139 6,918 959 17 106 13 4 3 34 0.35

PNC Financial Services 

(PNC) 425 18 13 68 2,004 161 10 252 26 11 5 2 0.30

Bank of New York 

Mellon Corp. (BK) 410 79 230 61 166,279 23,590 6 1,158 39 0 87 164 1.50

HSBC N.A. Holdings 

Inc. (HSBC) 406 36 55 50 1,061 43 49 5,194 40 4 43 1 0.38

State Street Corp. 

(STT) 345 30 209 43 59,122 20,411 - 1,141 54 8 47 125 1.48

Capital One Financial 

Corp. (COF) 336 14 2 94 914 3 2 63 16 4 9 2 0.19

Notes: This list shows BHCs with assets over $250 billion. The eight gray-shaded BHCs were G-SIBs as of 2013. HSBC North America is a holding company for 

the U.S. operations of HSBC Holdings, plc, incorporated in the United Kingdom.

Sources: Company Y-15 reports, OFR analysis

Figure 1. Systemic Importance Indicators Reported by Large U.S. Bank Holding Companies ($ billions)

Systemic risk scores are based on size, interconnectedness, substitutability, complexity, and cross-jurisdictional activities
OFR Brief Series February 2015 | Page 3

score for substitutability at 5 percent, in keeping with the Basel 

procedure.11

Of the 33 U.S. banks, the eight designated as G-SIBs in 2012 

had the highest systemic importance scores in 2013. JPMorgan 

Chase & Co. had the highest score at 5.05 percent, followed by 

Citigroup Inc. (4.27 percent), Bank of America Corp. (3.06 percent), Morgan Stanley (2.60 percent), Goldman Sachs Group, 

Inc. (2.48 percent), and Wells Fargo & Co. (1.72 percent).

The eight U.S. G-SIBs already have sufficient capital to meet 

their risk-based capital ratios, inclusive of the Basel G-SIB buffer 

on a fully phased-in basis. Even so, their Tier 1 leverage ratios, 

which are not risk-weighted, remain below those of large U.S. 

banks that are not G-SIBs. Figure 2 illustrates that banks with 

higher overall G-SIB systemic importance scores tended to have 

lower Tier 1 leverage ratios than the median large non-G-SIB.

Figure 2. Tier 1 Leverage Ratios (percent)

Peer banks that are not G-SIBs have a higher median Tier 1 

leverage ratio of close to 10 percent

JPM

BAC C

WFC

GS

MS

USB

BK

PNC

HSBC

COF

STT

0

4

8

12

16

012345 6

Sources: Federal Reserve BHC Performance Reports, OFR analysis

Median leverage rao

for large non-G-SIB banks

Tier 1 Leverage

Rao (percent)

Systemic

importance

score

and the total value of debt and equity securities issued by a 

bank. For the first two of these indicators, the financial system 

includes banks, securities dealers, insurance companies, mutual 

funds, hedge funds, pension funds, investment banks, and central counterparties. 

Substitutability. A bank is more systemically important if it 

provides important services that customers would have difficulty replacing if the bank failed. Three indicators measure 

this effect: a bank’s payments activity, assets under custody at 

the bank, and the bank’s total underwriting transactions.9 The 

Basel Committee methodology applies a cap to the substitutability categories when the indicators are combined into an 

overall score. The draft U.S. rule would take the higher of the 

Basel Committee methodology or an alternative methodology 

which replaces the substitutability component with a score 

based on banks’ short-term wholesale funding usage, effectively 

giving substitutability indicators a zero weight in determining a 

bank’s G-SIB buffer.

Complexity. A bank with highly complex operations is 

more difficult to resolve and has a broader impact if it fails. 

Complexity is measured by a bank’s notional amount of overthe-counter (OTC) derivatives; total amount of trading and 

available-for-sale securities; and total illiquid and hard-to-value 

assets, which are also known as Level 3 assets. 

Cross-Jurisdictional Activity. Banks with international operations can transmit problems from one region to another during 

a financial crisis. Global banks are also more difficult to resolve 

because they require coordination among national regulators. 

The scale of a bank’s global activity is measured by its total foreign claims and its total cross-jurisdictional liabilities. 

Each systemic risk category raises significant measurement challenges. Even the size measurement is far from straightforward. 

The current indicators and G-SIB capital buffer are important 

steps in an ongoing process to strengthen prudential regulation 

of the largest financial institutions. 

Analysis of 2013 U.S. Data

In the United States, each bank reported its systemic importance risk indicators as of December 31, 2013. The names of 

the banks and the financial data each submitted are summarized 

in Figure 1, along with each bank’s overall score of systemic 

importance. 

We followed the Basel Committee procedure in scoring banks 

by first normalizing each indicator by the total value for that 

indicator among the world’s 75 largest banks.10 For example, 

if a bank has a value of $4 billion for one indicator and the 

group’s total value for that indicator is $100 billion, the bank’s 

score for the indicator is 4 percent. This approach puts the 

scores for different indicators on a common scale. The normalized scores for indicators were averaged within each category 

to produce a subscore. The five category subscores were then 

averaged to produce an overall score. We capped the category 

0

1,000

2,000

3,000

4,000

JPM C BAC WFC GS MS Other

Total exposures

Total assets

Note: Analysis includes JPMorgan Chase & Co., Bank of America Corporaon, 

Cigroup Inc., Wells Fargo & Company, Goldman Sachs, Morgan Stanley, and the 

median of remaining bank holding companies with assets greater than $50 billion. 

Sources: Federal Reserve Y-15 and Y-9C reports

Figure 3. Exposures and Assets ($ billions)

Total exposures are considerably greater than assets for U.S. 

G-SIBs
OFR Brief Series February 2015 | Page 4

0

1

2

3

4

5

0

5

10

15

20

JP

M

C

BAC

WFC

GS

MS

USB

PNC

BK

HSBC

SST

COF

NTRS

BBVA

DB

Payments acvity Total exposure Assets under custody

Underwring acvity

Sources: Federal Reserve Y-15 reports and Basel Commiee on Banking Supervision

Figure 4. Substitutability (percent)

Some smaller banks scored higher on substitutability due to custodian, underwriting, and payments businesses

Morgan Stanley have large underwriting businesses. Deutsche 

Bank Trust (DB), a U.S. subsidiary of the largest German bank, 

has a high level of payment activity despite being the smallest 

of the 33 banks. The indicators were normalized (as described 

above) so they are all on a scale from zero to 100 percent. The 

figure does not reflect the 5 percent cap on the substitutability 

indicators that is used in the Basel methodology — without the 

cap, the overall scores for Bank of New York Mellon, Citigroup, 

JPMorgan, and State Street would be even higher. 

Interconnectedness

In the Y-15 data, a bank’s interconnectedness is measured by the 

intrafinancial system assets it owns and the intrafinancial system 

liabilities that it owes. Averaged over the 33 U.S. banks, intrafinancial system assets and liabilities were nearly equal at $75 

billion and $72 billion, respectively.13 But the averages do not 

reflect notable differences for individual banks (see Figure 5). In 

the figure, the bubble sizes are proportional to each bank’s total 

exposures. Banks above the diagonal line had net obligations to 

the financial system, and banks below the diagonal line had net 

claims on the financial system. Differences in these indicators 

of interconnectedness partly reflect differences in activities measured by the substitutability and complexity indicators: those 

above the line generally have large payments activities or assets 

under custody, while those below the line generally have large 

trading, derivatives, and underwriting operations. 

Total intrafinancial system assets and liabilities of the bank holding companies were nearly equal — $2.5 trillion for assets and 

$2.4 trillion for liabilities. The largest component of total intrafinancial system assets was the fair value plus potential future 

exposure (PFE) of OTC derivatives, at $1.2 trillion (48 percent).14 Deposits and loans to other financial institutions were a 

distant second at $615 billion (25 percent). Securities financing 

transactions (SFTs) accounted for just 7 percent (see Figure 6).

Intrafinancial system liabilities primarily took the form of 

deposits, which made up $1.4 trillion or 59 percent. Most of 

the deposits, $1.1 trillion, were due to nonbank financial institutions. Surprisingly, OTC derivatives contributed only about 

half as much to intrafinancial system liabilities ($632 billion) 

as to intrafinancial system assets ($1.2 trillion). Across all OTC 

JPM 

BAC

STT

WFS

C

MS

GS

BK

0

0

100

200

300

400

500

600

700

 100 200 300 400 500 600 700

Assets

Liabilies

Source: Federal Reserve Y -15 reports

Net borrowers

Net lenders

Note: Bubble size shows total exposures.

Figure 5. U.S. G-SIBs’ Liabilities and Assets ($ billions)

Banks vary in their use and provision of funding 

Size

Bank size is an important component of systemic risk. Figure 3 

presents two measures of size, total assets and total exposures, 

the size measure used in the G-SIB methodology that includes 

derivative positions and securities financing transactions, such 

as repurchase agreements and securities lending. By either measure, the six largest U.S. banks dominated the others, accounting for nearly 70 percent of total assets and 72 percent of total 

exposures. The same six had total exposures 44 percent larger 

than their total assets. By comparison, the other banks’ total 

exposures were just 27 percent larger than their total assets. 

Substitutability 

Six banks scored higher on the substitutability indicator than 

their size would suggest, as shown in Figure 4.

12 The horizontal axis orders the 33 banks by size. Bank of New York Mellon 

Corp., State Street Corp., and Northern Trust Corp. (NTRS) 

have large operations as custodian banks. Goldman Sachs and 
OFR Brief Series February 2015 | Page 5

JPM

C

BAC

WFC

GS

MS

USB

PNC

BK

HSBC

STT

COF

-6 -3 0 3 6

Source: Federal Reserve Y-15 Reports

Figure 8. Securities Financing Transactions (percent)

Banks’ net borrowings and net lending from the financial 

system are shown as a percent of their total exposures

Figure 7. OTC Derivatives Exposures (percent)

Banks’ positive and negative OTC derivatives values are 

shown as a percent of their total exposures

JPM

C

BAC

WFC

GS

MS

USB

PNC

BK

HSBC

STT

COF

-10 0 10 20 30

Source: Federal Reserve Y-15 Reports

market participants, derivatives assets must equal derivatives 

liabilities, so this imbalance indicates that the U.S. banks held 

large positive OTC derivatives positions with financial institutions outside this group.

In contrast, securities financing transactions were a net source 

of funding to the U.S. banks from the rest of the financial system. Securities lending contributed $336 billion to intrafinancial system liabilities and $186 billion to intrafinancial system 

assets. Bank holding companies are allowed to report both 

securities financing transactions and derivatives transactions 

on a net basis (subject to a valid master netting agreement). 

However, OTC derivatives are reported on a more expansive 

basis that includes PFE. As a result, smaller reported numbers 

for securities financing transactions may have underweighted 

their risks relative to firms’ OTC derivatives risks.

Figure 7 shows individual banks’ OTC derivatives positions with 

positive value (intrafinancial system assets) and OTC positions 

with negative value (intrafinancial system liabilities) as a percentage of the bank’s total exposures. This comparison shows that the 

imbalance in OTC positions was primarily due to the positions of 

just two U.S. banks, Goldman Sachs and Morgan Stanley. 

A similar comparison of the 12 largest banks’ securities financing transactions shows that the imbalance varied across banks 

(see Figure 8). Four of the six largest banks were net borrowers 

from the financial system. Bank of New York Mellon and State 

Street, which run large securities lending businesses, had large 

negative net positions.

Complexity 

The three activities measured by the systemic risk indicators for 

complexity — derivatives, trading assets, and illiquid (Level 3) 

assets — played a large role in the financial turmoil of 2007-08. 

0

500

1000

1500

2000

2500

OTC derivaves

(net negave)

SFTs

Credit lines obtained

Deposits due to banks

Deposits due 

to nonbanks

OTC derivaves (net posive)

SFTs

Securies

Credit lines extended

Deposits and loans to

financial instuons

Assets Liabilies

Source: Federal Reserve Y-15 reports

Figure 6. U.S. G-SIBs’ Combined Intrafinancial Assets 

and Liabilities ($ billions)

Nearly half of assets are OTC derivatives and most liabilities 

are deposits from nonbanks
OFR Brief Series February 2015 | Page 6

0

100

200

300

400

500

600

700

0 200 400 600 800 1000

Source: Federal Reserve Y-15 reports

Note: Bubble size shows total exposures. Bubble label shows number of

jurisdicons in which the BHC operates. 

Intrafinancial system liabilies

Foreign claims

BK

STT

C

100

JPM

60

MS

51

BAC

49

GS

51

35

30

WFC

30

0

5

10

15

20

25

- 5 10 15 20 25

Sources: Federal Reserve BHC Performance Reports, OFR analysis

Note: Bubble size shows total exposures.

OFR Financial

Connecvity Index

Leverage

(Total assets/Tier 1 capital)

BK

STT

C

MS

JPM

BAC

GS

WFC

Figure 9. Foreign Claims ($ billions)

Banks with large foreign claims are also highly 

interconnected to the financial system

Figure 10. Leverage and the OFR Financial 

Connectivity Index

Highly leveraged banks are also the most interconnected

The six largest banks scored highest on the complexity indicators, with OTC derivatives largely confined to five of those six 

(see Figure 1). 

Cross-Jurisdictional Activity 

A bank that has large foreign assets and large intrafinancial system liabilities is a potential source of spillover risk. If a large 

loss in value in foreign assets caused such an institution to fail, 

the losses could be transmitted to the rest of the U.S. financial 

system. Five banks had large foreign assets (exceeding $300 billion) and Citigroup and JPMorgan had large figures for both 

foreign assets and intrafinancial system liabilities. The bubble 

sizes in Figure 9 reflect firm size, based on total exposures.15

Again, the largest banks are the most interconnected and they 

are involved in the most cross-jurisdictional activity.

OFR’s Financial Connectivity and Contagion 

Indexes

In addition to analyzing the Y-15 data, we also estimated a 

financial connectivity index for each bank holding company, as 

defined in an OFR working paper in 2013.16 The index measures the fraction of liabilities held by other financial institutions. All else being equal, the default of a bank with a higher 

connectivity index would have a greater impact on the rest of 

the banking system because its shortfall would spill over onto 

other financial institutions, creating a cascade that could lead to 

further defaults. 

High leverage, measured as the ratio of total assets to Tier 1 capital, tends to be associated with high financial connectivity and 

many of the largest institutions are high on both dimensions 

(see Figure 10). Seven of the eight U.S. G-SIBs had high financial connectivity index values; Bank of New York Mellon and 

State Street were high on both dimensions despite their relatively 

smaller sizes. 

The same OFR working paper also introduced a contagion 

index that combined the connectivity index with measures of 

a bank’s size and leverage. The larger the bank, the greater the 

potential spillover if it defaults; the higher its leverage, the more 

prone it is to default under stress; and the greater its connectivity index, the greater is the share of the default that cascades 

onto the banking system. The product of these three factors 

provides an overall measure of the contagion risk that the bank 

poses for the financial system. Five of the U.S. banks had particularly high contagion index values — Citigroup, JPMorgan, 

Morgan Stanley, Bank of America, and Goldman Sachs.

Conclusions

The collection of systemic importance indicators is a significant step in providing information to banking supervisors 

and the public about the potential impact of the failure of a 

major financial institution. Additional capital requirements for 

G-SIBs could enhance the resilience of the financial system. The 

indicators agreed upon through the Basel Committee recognize 

several dimensions to systemic importance. Although the largest 
OFR Brief Series February 2015 | Page 7

1

 The Basel Committee said the measures were 

not meant to reflect the probability that an 

institution will fail. “The Committee is of 

the view that global systemic importance 

should be measured in terms of the impact 

that a bank’s failure can have on the global 

financial system and wider economy, rather 

than the risk that a failure could occur.” See 

Basel Committee on Banking Supervision 

(BCBS), Global Systemically Important Banks: 

Updated Assessment Methodology and the 

Higher Loss Absorbency Requirement, Bank for 

International Settlements, Basel, July 2013, 

p. 5 (available at www.bis.org/publ/bcbs255.

pdf, accessed December 2, 2014). The list 

of G-SIBs is available at www.bis.org/press/

p141106.htm. 

2 Board of Governors of the Federal Reserve 

System, Press Release, December 9, 2014 

(see www.federalreserve.gov/newsevents/

press/bcreg/20141209a.htm, accessed 

December 10, 2014).

3 Form Y-15 follows the Basel Committee’s 

template for collecting the systemic indicators (see www.bis.org/bcbs/gsib, accessed 

December 2, 2014).

4 These include subsidiaries of Banco 

Bilbao Vizcaya Argentaria, S.A. (BBVA); 

BNP Paribas Group; Deutsche Bank AG; 

Mitsubishi UFJ Financial Group, Inc.; Royal 

Bank of Scotland Group plc; and Banco 

Santander. Each of these parent companies 

has been designated a G-SIB. The other two 

foreign parent companies are TD Bank and 

Bank of Montreal. Only the U.S. holding 

companies file Form Y-15, not their foreign-based parent companies. A comparison 

of indicators across international banks will 

be the subject of a future OFR Brief.

5 See www.ffiec.gov/nicpubweb/nicweb/

NicHome.aspx. 

6 See BCBS, Global Systemically Important 

Banks.

7 The complete list of institutions 

is available on the FSB’s website 

(see www.financialstabilityboard.

org/2014/11/2014-update-of-list-of-global-systemically-important-banks, accessed 

December 2, 2014).

8 Information on the weights and the descriptions of the indicators that follow are from 

BCBS, Global Systemically Important Banks, and 

Board of Governors of the Federal Reserve 

System, Instructions for Preparation of Banking 

Organization Systemic Risk Report (available at 

www.ny.frb.org/banking/reportingforms/

FR_Y_15.html, accessed December 2, 

2014).

9 A high score on these substitutability 

indicators means a lack of readily available 

substitutes to replace the bank’s services if it 

were to fail.

10 To be consistent with the Basel Committee’s 

procedure, in calculating normalized scores 

we divided by the totals for the group of 

75 international banks and not the 33 U.S. 

banks. We normalized by the totals for 

2013 as reported by the BCBS at www.bis.

org/bcbs/gsib/denominators.htm (accessed 

December 3, 2014).

11 The 5 percent cap was imposed in the committee’s July 2013 updated methodology 

because substitutability was found to have 

a greater than intended effect on the overall 

score.

12 U.S. G-SIBs are even more leveraged relative 

to non-G-SIB U.S. peers on an enhanced 

supplementary leverage ratio basis, which 

uses total exposures instead of total assets.

13 They are not equal because the 33 bank 

holding companies do not make up the 

entire financial system.

14 Potential future exposure (PFE) is defined as 

the maximum exposure estimated to occur 

on a future date at a high level of statistical 

confidence.

15 The number of jurisdictions is reported as 

an ancillary indicator in the Basel template 

and in Form Y-15.

16 Specifically we estimated the numerator 

from the Y-15 data as an institution’s intrafinancial system liabilities (which include 

derivative liabilities) minus deposits from 

nondepository institutions such as mutual 

funds, pension funds, and insurance companies. We excluded these deposits because 

we wanted to estimate a given institution’s 

potential spillover effect on other banks. If 

these deposits were included, the estimated 

connectivity index would be larger. See Paul 

Glasserman and H. Peyton Young, “How 

Likely is Contagion in Financial Networks?,” 

OFR Working Paper no. 0009, June 21, 

2013, forthcoming in the Journal of Banking 

and Finance; and Office of Financial Research,

2013 Annual Report, Washington, pp. 63-70.

Endnotes

banks tend to dominate all indicators of systemic importance, 

the indicators of substitutability, interconnectedness, complexity, and global activity provide useful additional information to 

understand differences among these institutions.

Some dimensions of systemic importance are not captured by 

the indicators. One is the extent to which a bank engages in 

maturity and liquidity transformation. Funding long-term illiquid assets with short-term liabilities can make a bank resolution more difficult. A second dimension is the extent to which 

a bank’s home sovereign relies on the bank for funding activities 

and financial services; this type of reliance can contribute to a 

bank’s systemic importance. A third dimension is that the current substitutability indicators do not directly measure all critical services, such as clearing and settlement operations. 

The type of analysis reported here can help drive future data 

collections and can point to further work on indicators. These 

efforts are needed for monitoring risks as well as for identifying 

systemically important banks.