Bank health / Fragility / Methodology

Fragility map methodology

Every number on the fragility map is computed from the FFIEC Central Data Repository call-report bulk archive (2001Q1-2026Q1, 101 quarters, 666,701 bank-quarters), at build time, from the fields below. Nothing is hand-entered and nothing is modeled: unrealized losses are the difference between two figures every bank itself files each quarter.

What this page is NOT

• Not SRISK and not LRMES. Those are market-data constructs (expected capital shortfall conditional on a market crash, from equity prices and correlations). This page uses no market prices at all, only accounting figures banks file themselves. Calling it SRISK would be wrong in both directions.
• Not a market-value stress test. No scenario is applied. The losses shown have already happened at filing-date market prices; the question the map asks is only who holds them, against how much capital, with how much runnable funding.
• No loan-book marking. Jiang, Matvos, Piskorski and Seru mark loan books to market too, and for good reason: First Republic's duration losses were mostly in loans, and this page's securities-only lens shows it at 29.9% of tier 1 at 2022Q4, far less alarming than SVB's 104.1%. The securities leg is shown alone because it is exactly observable (both cost and fair value are filed); marking loans requires a model, and this page publishes no modeled values.

Field-by-field MDRM mapping

Codes verified against the item-description row inside the bulk files themselves, in both the 2005Q1 and 2023Q1 archives (descriptions shown verbatim as filed). RCFD is the consolidated value, RCON domestic offices; the consolidated value is preferred per bank where both exist.

Derived values: unrealized HTM = fair value minus amortized cost (1771 - 1754); unrealized AFS likewise (1773 - 1772); the headline ratio divides their sum by tier 1 capital, falling back to total equity for the small share of bank-quarters without a tier 1 figure. Negative means loss. All amounts are thousands of USD as filed.

The uninsured-deposit coverage caveat

RC-O Memorandum 2 (RCON5597, estimated uninsured deposits) is completed only by banks with $1 billion or more in assets. In 2026Q1 that is 1,011 banks, which nonetheless hold 95.4% of system deposits, so the reported figure covers almost all deposit dollars while covering a minority of banks. The remaining 3,270 banks carry a proxy, flagged as such everywhere it appears: amount in deposit accounts above the insurance limit minus the number of such accounts times the limit (RC-O Memorandum 1; $250,000-basis items RCONF051/F052 in the modern archive, $100,000-basis items RCON2710/2722 in the pre-2010 era, the era detected per quarter from which items the file carries). The proxy is a lower bound: it removes one insured slice per account and cannot see ownership categories, so it understates uninsured balances relative to a bank's own estimate.

Foreign-office deposits (RCFN2200) are not FDIC-insured and RC-O covers domestic offices only, so the headline uninsured share adds foreign-office deposits to the numerator: (RCON5597 + RCFN2200) / (RCON2200 + RCFN2200). This is the definition under which Silicon Valley Bank's 2022Q4 uninsured share is 94.4%, consistent with the figures reported after its failure. A domestic-only variant (RCON5597 / RCON2200) ships in the dataset alongside.

Anchors against published figures

• System aggregate: this panel sums to $688.2B of unrealized losses in 2022Q3 (HTM $368.0B, AFS $320.3B) against the $689.9B the FDIC QBP press release, 2022Q3 reports (HTM $368.5B, AFS $321.5B), a gap of 0.2%. For 2023Q1 this panel sums to $515.5B against the $515.5B in the FDIC's 2023Q1 release. The residual gap is a universe difference: the QBP covers FDIC-insured institutions, while the call-report archive also includes a small number of non-insured filers and the two counts differ by a few dozen institutions in any quarter.
• Single bank: Silicon Valley Bank's 2022Q4 call report yields $15.2B of unrealized HTM losses here, against the $15.2B net unrealized loss on HTM securities disclosed in its FY2022 Form 10-K (amortized cost $91.3B). First Republic and Signature reconcile the same way; the exact figures are in the build receipts.

Thresholds and universe

• The danger quadrant (loss beyond half, or all, of tier 1 while uninsured funding exceeds half of deposits) is a reporting convention chosen for legibility, not an estimated run threshold. Sensitivity to the choice is visible directly: both loss thresholds are drawn on the chart.
• The universe is every bank filing a call report (FFIEC 031/041/051), so pure holding-company figures never enter; SVB here is the bank subsidiary, not SVB Financial Group, which is why its 10-K figures match to a tenth of a billion but not exactly.
• The uninsured share can marginally exceed 100% for custodial banks (State Street files an uninsured-deposit estimate slightly above its domestic deposits, because RC-O Memorandum 2 includes accrued unpaid interest that the total-deposit line excludes). Values are reported as filed; the scatter clamps its axis at 100% for drawing only.
• AFS unrealized losses already sit in equity through AOCI for most banks (and flow to regulatory capital only for the largest); HTM losses sit in neither. The ratio shown deliberately puts both against tier 1 to answer a single question: what happens to capital if the whole securities book had to be sold at filing-date prices.

The CRE concentration screen

The commercial-real-estate section applies the two supervisory criteria of the interagency guidance "Concentrations in Commercial Real Estate Lending, Sound Risk Management Practices" (71 FR 74580, December 12, 2006): (1) total reported loans for construction, land development and other land at 100% or more of total capital; or (2) total CRE loans as the guidance defines them at 300% or more of total capital with the CRE portfolio up 50% or more over the prior 36 months. The guidance's own footnotes fix the fields: RC-C items 1a, 1d, 1e and Memorandum 3 for the loans, and "total capital" means total risk-based capital as reported on Schedule RC-R (footnote 5, then line 21). Its scope section excludes owner-occupied property: "Excluded from the scope of this Guidance are loans secured by nonfarm nonresidential properties where the primary source of repayment is the cash flow from the ongoing operations and activities conducted by the party, or affiliate of the party, who owns the property."

• Owner-occupied era seam. The call report only splits nonfarm nonresidential into owner-occupied and non-owner-occupied from 2007Q1 (the split items were added to implement this guidance), and every bank files it from 2008Q1; 2007 is a partial-adoption year. Before a bank files the split, its guidance-definition CRE total necessarily includes owner-occupied property, flagged per row (oo_split). This is why the aggregate guidance-definition series steps down at 2007Q1 while the construction series is smooth; the chart's dashed line keeps owner-occupied in the total for the whole 2001Q1-2026Q1 panel (666,701 bank-quarters) and is continuous across the seam.
• Denominator. Total risk-based capital (3792) where reported. Community bank leverage ratio electors stopped reporting it in 2020Q1; tier 1 capital (8274) substitutes there, recorded in denom_used: in 2026Q1, 2,588 of 4,336 rated banks report total risk-based capital and 1,748 are carried on tier 1.
• Growth leg. The 36-month leg compares each bank's guidance-definition CRE with its own level exactly 12 quarters earlier; windows whose base predates the bank's first filing stay unmet. Windows that cross the 2007Q1 seam have an owner-occupied-inclusive base against an exclusive current value, so measured growth there is understated and the criterion-2 count is conservative. In 2026Q1, 439 banks clear the 300% level leg and 118 also clear the growth leg.
• FDIC anchor. The FDIC's 2025 Risk Review (footnote 12) screens on total CRE above 300% or construction above 100% of tier 1 capital plus the allowance, and reports 1,374 banks (roughly 31 percent) CRE-concentrated at year-end 2024, with a community-bank median CRE concentration ratio of 195 percent. Rebuilt on this panel with that same screen (which keeps owner-occupied in the numerator; that is what reproduces the FDIC's figures), 2024Q4 yields 1,367 banks and a median of 195% for banks under $10B, against the FDIC's 1,374 and 195%. FDIC 2025 Risk Review.
• Single bank. FLAGSTAR BANK, NATIONAL ASSOCIATION in 2026Q1: guidance-definition CRE of $34.6B over total risk-based capital of $9.9B gives 3.49x. The addends are the raw filed values (construction 676,928 + 1,081,649; multifamily 27,857,851; non-owner-occupied nonfarm nonresidential 4,592,537; unsecured CRE 424,924; capital 9,937,852, all thousands of USD as of 2026Q1), hand-checked against the bulk file for IDRSSD 694904.

Source data: FFIEC Central Data Repository bulk download, all schedules, 2001Q1-2026Q1. cdr.ffiec.gov. Back to the fragility map.