At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
Five of the eight systemically important US banks saw their standardised market risk-weighted assets (RWAs) drop in Q2, mostly because of falls in their value-at-risk based measures.
JP Morgan posted the largest quarter-on-quarter reduction of market RWAs, which were down 9% on Q1 to $100.2 billion.
Goldman Sachs, Bank of America, Citi and BNY Mellon saw market RWAs fall by 9% to $62 billion, 4% to $50.9 billion, 2% to $59.6 billion and 8% to $3.2 billion, respectively.
In contrast, market
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