Substitutability cap spares JP Morgan higher capital add-on

Three other US banks – BNY Mellon, Citi and State Street – also hit the cap in this year’s G-Sib assessment

JP Morgan would incur a capital surcharge of 3.5% without the Basel Committee’s limit to the weight given to a bank’s substitutability in its too-big-to-fail designation process, Risk Quantum analysis shows.

Global systemically important banks (G-Sibs) are identified using Basel’s assessment methodology, which assigns a systemic risk score to each firm, calculated by averaging the scores of five