Chafing under capital rules, JP Morgan sells home loans

JP Morgan has been selling off mortgage loans, citing punitive capital charges applied under the Basel Committee-defined standardised approach. Risk Quantum analysis suggests the risk-weighting of these assets under this approach is roughly twice that produced by the bank’s own models.

The firm had residential mortgage exposures-at-default (EAD) of $289 billion as of end-September, a decline of 9.4% from a year prior. Risk-weighted assets (RWAs) for these exposures, as determined under the

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