Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
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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