Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
JP Morgan and Citi avoided higher capital requirements in the latest assessment of global systemically important banks, thanks to the Basel Committee on Banking Supervision’s cap on the substitutability category’s weight on their systemic risk scores, Risk Quantum analysis shows.
The substitutability score, which measures the lack of readily available ‘step in’ institutions that can replace a G-Sib’s services should it fail, is capped at 500 basis points under the BCBS’s methodology.
Had the
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