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In conjunction with the Durham University Business School, we are working with the FR Y-9C dataset to test the extent to which non-financial risk (NFR) expressed in RUs and net income before tax (NIBT) are correlated. Our test is aimed at identifying and evaluating predictive properties inherent in the RU. For the purposes of this test we are particularly interested in examining the period leading up to and immediately following the financial crisis of 2007/8. Below are details of how we produced the underlying analysis. However, in processing historic FR Y-9C data we encountered numerous inconsistencies and anomalies which may affect the reliability of the analysis. If you review it because it relates to an entity you are familiar with, or maybe you have experience of working with the FR Y-9C dataset, or you’re simply interested in the subject matter, we would welcome your feedback. Please feel free to email risk.research@serraq.org with any thoughts and suggestions you may have as to how it may be improved.

Non-Financial Risk Exposures Can be Expressed in Figures

How much non-financial risk (NFR) did your bank generate through the financial crisis? To find out, we’ve displayed a sample report at the bottom of this page; clear the search box, enter the name of your bank and follow the directions below.

Before proceeding, all users of the NFR Analysis must read the applicable disclaimer.

 

Directions: How to Use the NFR Analysis

  • Enter the name of your bank in the ‘Bank’ search box at the right of the chart (US regulated banks only).
  • In the dropdown box, select the entity or entities you want to analyze.
  • Clear the search box before initiating a new search.
  • Trended NIBT ($) is plotted via the blue line and NFR (RU) via the red line: the RU is a new, additive metric designed to express all forms of NFR (click herefor more information on the RU).

 

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Important Notes

  •  The NFR Analysis is only available for banks regulated in the USA. If you are a US regulated bank and haven’t been able to locate it in the NFR Analysis, please contact us for assistance.
  • If your bank is not regulated in the USA but you are interested in an NFR Analysis, please contact us.
  • The NFR Analysis only reports inherent NFR (Inherent RUs). For information on how to calculate residual NFR (Residual RUs) for your bank please contact us.
  • The analysis is produced from bank holding company call-report (US GAAP) data (FR Y-9C) made publicly available by the Federal Reserve Bank of Chicago. Click here for more information.
  • For notes on how an NFR Analysis test data file was prepared from the FR Y-9C dataset, find below a brief description of the process.
  • Trended information may be inconsistent due to possible accounting and reporting changes and corporate reorganizations (mergers, acquisitions, bankruptcies etc).
  • All users of the NFR Analysis must read the applicable disclaimer.

Future Plans

We are working on extending the NFR Analysis up to the present date as well as new reports focused on products and NFR types. If you are interested in accessing these reports when available, please contact us.

About SERRAQ and Membership

To learn more about SERRAQ, click here. For information on how to apply for membership of SERRAQ and details of the benefits of becoming a member, click here.

Disclaimer

The information provided through the NFR Analysis discussed on this web page is produced from US bank holding company call-report (US GAAP) data made publicly available by the Federal Reserve Bank of Chicago. Accordingly, SERRAQ cannot guarantee the accuracy or completeness of this data. Further, we used certain assumptions to compensate for the inability to validate, with the banks concerned, the risk factors used in the NFR/RU calculation engine (primarily Exposure Uncertainty Factors [EUFs] and Value band Weightings – [VBWs]). Accordingly, SERRAQ cautions users of the NFR Analysis that it constitutes indicative information only and SERRAQ does not guarantee, and accepts no legal liability, for its accuracy, reliability, or completeness.

 

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