The financial crisis catch phrase “too big to fail,” is as much about interconnectivity as asset size. New research by the Treasury Department's Office of Financial Research answers the question of what bank would cause the most damage, and knock over the most financial dominoes, if it was to fail? The answer: JPMorgan Chase.

The OFR study, for the first time, ranks 33 U.S. banks by their level of systemic risk. JPMorgan netted the highest "systemic risk score," a calculation that measure of a bank's risk as a ratio of the total risk contained by a worldwide group of banks. Scores were based on size, assets under custody, interconnectedness, complexity, underwriting activity, OTC derivatives holdings, outstanding securities, and cross-border activities and liabilities. “Several of the largest banks scored high in systemic importance because they dominate specific businesses, such as payments and asset custody services,” the study says. “Others scored high in complexity because of their trading and derivatives businesses.”

Authors Meraj Allahrakha, Paul Glasserman, and H. Peyton Young used recent Federal Reserve data to evaluate the systemic importance of the largest U.S. bank holding companies. The research also drew upon international data, including the Basel Committee on Banking Supervision’s 12 financial indicators for identifying global systemically important banks (G-SIBs). The most recent Basel list identified 30 banks across the world as G-SIBs, including eight U.S. bank holding companies.

The researchers also evaluated “systemic importance indicators” that the largest U.S. bank holding companies reported in August 2014. Any U.S. bank holding company with more than $50 billion in assets is required to file a Banking Organization Systemic Risk Report on an annual basis. A total of 33 banks, including eight subsidiaries of foreign banks, filed that form last year.

Other metrics included large holdings of foreign assets (exceeding $300 billion) and 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,” the study says. High leverage, measured as the ratio of total assets to Tier 1 capital, was also associated with high financial connectivity.

The top 10 banks, ranked in order by their systemic risk score: JPMorgan Chase, Citigroup, Bank of America, Morgan Stanley, Goldman Sachs, Wells Fargo, Morgan Stanley, U.S. Bancorp, PNC, Bank of New York Mellon, HSBC, State Street, and Capital One.

The OFR study also introduced a “contagion index.” 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,” it says. Citigroup, JPMorgan, Morgan Stanley, Bank of America, and Goldman Sachs all had “had particularly high contagion index values”