Four US banks on cusp of higher systemic risk charges

Bank of America, JP Morgan and Goldman Sachs all disclosed systemic risk scores for Q3 that will qualify them for higher capital surcharges unless they rapidly cut exposures in the weeks before December 31.

Risk Quantum analysis of the Federal Reserve’s systemic risk reports, known as FR Y-15s, show that Goldman Sachs increased its systemic risk score, as calculated using the Fed’s Method 2 approach, the most of the set over the quarter – by eight basis points to 546bp. 

If the bank’s score is

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