US systemic risk scores hit records at JPM, Citi and 5 others

Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding

Systemic risk scores for seven US banks shot to their highest ever positions in the second quarter, driven by trading book expansion and tilts to stopgap funding.

The average systemic risk score, as determined using the US Federal Reserve methodology, across 24 banks analysed by Risk Quantum rose from 237 basis points at the end of March quarter to 240bp three months later.

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