Risk Quantum/State Street
JP Morgan on brink of 4% G-Sib surcharge
US bank will have to cull balance sheet by year-end
Basel and Fed G-Sib methods pose dual test to US banks
Different emphasis of rival frameworks could frustrate bank efforts to reduce systemic risk
Citi, State Street grow off-balance sheet exposures
Big US banks add $11 billion in exposures during Q3
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
G-Sib indicator change would hike JP Morgan surcharge
US bank would swallow 3.5% G-Sib surcharge if substituability cap lifted
Derivatives exposures at US G-Sibs on the wane
Bank of America cuts $15 billion in third quarter, the most of the big eight firms
US G-Sibs cut $36bn of HQLA
Wells Fargo clears out $27 billion of HQLA in first nine months of 2017 alone
LCRs show US banks run more risk than European peers
The gap between the two averages has widened over the past three quarters to 250bp from 212bp
Goldman, Wells cut operational risk
The two firms reduce op RWAs by combined $15 billion in third quarter
State Street HQLA shift dampens investment yields
Allocations to agency mortgage-backed securities increase to 38.4% of portfolio total
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter