The FR Y-15: How Systemic Risk Gets Measured and Priced
The FR Y-15 is the report that turns systemic importance into a number and then into required capital. Its schedules measure size, interconnectedness, substitutability, complexity, and cross-jurisdictional activity, and one of them exists to make short-term wholesale funding expensive.
Two banks can hold the same assets and the same CET1 ratio and face different capital requirements, because one of them is harder to fail safely. The report that measures that difference is the FR Y-15, the Systemic Risk Report (called the Banking Organization Systemic Risk Report until around 2020, a name that still lingers in secondary sources).
The Y-15 is the input to the global systemically important bank framework: it collects the indicators that identify which firms are systemic, converts them to a score, and that score sets the GSIB capital surcharge the firm carries on top of the standard minimums. (Source: Federal Reserve FR Y-15 reporting form and instructions.)
What the Y-15 Collects
The report is organized into schedules, each measuring one dimension of systemic importance. For domestic reporters:
| Schedule | Indicator category | What it measures |
|---|---|---|
| A | Size | Total exposures, on a leverage-exposure basis rather than accounting assets |
| B | Interconnectedness | Intra-financial system assets and liabilities, and securities outstanding |
| C | Substitutability | Payments activity, assets under custody, and underwriting volume |
| D | Complexity | Notional over-the-counter derivatives, trading and available-for-sale securities, and Level 3 assets |
| E | Cross-jurisdictional activity | Foreign claims and foreign liabilities |
| F | Ancillary indicators | Supplementary measures collected for monitoring |
| G | Short-term wholesale funding | Funding by counterparty type and remaining maturity, weighted |
Schedules H through N repeat the same categories for foreign banking organizations. The report also carries its own glossary defining terms including assets under management, assets under custody, brokered deposit, and the Category I through III tailoring designations. (The tailoring rule at 12 CFR 252 defines four categories; the Y-15 glossary defines the first three.)
Each category exists because it captures a distinct reason a firm’s failure would be disruptive. Size is the obvious one. Interconnectedness measures how much of the financial system’s balance sheet runs through this firm. Substitutability asks whether anyone else could take over its critical functions, which is why custody and payments volume are in there: a firm that clears a large share of a market is hard to replace regardless of its size. Complexity measures how difficult it would be to resolve. Cross-jurisdictional activity measures how many legal regimes a resolution would have to span.
How the Score Becomes Capital
The framework runs two parallel calculations, and a firm’s surcharge is the higher result.
Method 1 follows the international Basel Committee approach. The five categories of size, interconnectedness, substitutability, complexity, and cross-jurisdictional activity are each scored relative to a global aggregate and weighted equally, producing a score that maps to a surcharge bucket.
Method 2 is a U.S. addition. It replaces the substitutability category with a measure built from short-term wholesale funding and drops the relative-to-global normalization in favor of fixed coefficients.
Method 2 usually binds for U.S. firms, and that is deliberate. The design choice makes short-term wholesale funding directly expensive in capital terms, because reliance on it was the transmission mechanism in 2008: the funding does not roll, the firm is forced to sell into a falling market, and the sale prices become someone else’s losses. Putting that measure into the surcharge formula prices the externality rather than prohibiting the activity.
The result is one of the cleanest examples in bank regulation of a reporting form doing policy work. Schedule G is not a data-collection exercise. It is a tax base.
Who Files It
The Y-15 is filed by large U.S. bank holding companies, covered savings and loan holding companies, and certain foreign banking organizations, above reporting thresholds set in the instructions. The filer population is in the dozens rather than the thousands, which puts it in the same class as the other specialized reports covered in the guide to regulatory reports beyond the call report.
Not every Y-15 filer is a GSIB. The report is filed by a wider set of large organizations than the eight or so U.S. firms that carry a surcharge, because the framework needs the broader population to compute the aggregates and to monitor firms approaching the thresholds. Filing the Y-15 is a statement about size, not about systemic designation.
Why It Is Worth Reading Even If You Do Not Cover Large Banks
Three reasons.
It is the only public source for several exposure measures. Intra-financial system assets and liabilities, assets under custody, payments activity volume, and Level 3 assets do not appear on the FR Y-9C or the call report in this form. If you want to know how interconnected a large firm is, the Y-15 is where that lives.
It explains capital differences that the ratios alone do not. When two large holding companies run different CET1 targets, the surcharge is often a large part of the gap. Comparing capital ratios across the largest firms without accounting for differing surcharges compares them against different requirements.
It shows what regulators actually consider dangerous. The category weights are a published statement of what the framework treats as systemic risk. That is useful context well below the GSIB threshold, because the same concerns show up in supervision of much smaller firms in less formalized ways: funding concentration, complexity relative to management capability, and difficulty of resolution.
Reading It Carefully
Three cautions.
Size on the Y-15 is not total assets. Schedule A uses a total exposure measure closer to the leverage exposure definition, which includes off-balance-sheet and derivative exposures that accounting assets exclude. A Y-15 size figure will not tie to the largest banks by total assets and is not supposed to.
Some indicators are period-end and some are averages. Period-end measures are more susceptible to quarter-end position management than averages are. Read the instruction for the specific line before comparing across firms.
Surcharges lag the data. The score is computed from a reporting year’s data and the resulting surcharge applies with a delay. A firm whose indicators moved this quarter is not carrying a different surcharge this quarter.
Frequently Asked Questions
What is the FR Y-15?
The FR Y-15 is the Systemic Risk Report, filed with the Federal Reserve by large U.S. holding companies and certain foreign banking organizations. It collects indicators of size, interconnectedness, substitutability, complexity, cross-jurisdictional activity, ancillary measures, and short-term wholesale funding, and those indicators feed the global systemically important bank framework and the GSIB capital surcharge.
What is the GSIB surcharge?
The GSIB surcharge is an additional common equity tier 1 capital requirement imposed on global systemically important banks, on top of the standard minimums and buffers. It is calibrated from a systemic indicator score built on FR Y-15 data. A firm’s surcharge is the higher of two calculations, one following the international Basel approach and one using a U.S. method that incorporates short-term wholesale funding.
Why does short-term wholesale funding affect the GSIB surcharge?
The U.S. Method 2 calculation replaces the substitutability category with a measure of short-term wholesale funding, which makes reliance on that funding directly expensive in capital terms. The design reflects the 2008 experience in which short-term wholesale funding failed to roll, forcing asset sales that transmitted losses across the system. Method 2 typically binds for U.S. firms.
Is every FR Y-15 filer a systemically important bank?
No. The Y-15 is filed by a broader set of large banking organizations than the small number of U.S. firms designated as global systemically important banks and carrying a surcharge. The wider filer population is needed to compute framework aggregates and to monitor firms approaching thresholds, so filing the report indicates size rather than designation.
Does FR Y-15 size match a bank’s total assets?
No. Schedule A measures total exposures on a basis closer to the leverage exposure definition, which includes off-balance-sheet and derivative exposures that accounting total assets exclude. A Y-15 size indicator will therefore not tie to a total assets figure from the FR Y-9C or the call report.
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