Basel 2.5 behind JP Morgan’s CIO trading loss

Rehedging mechanism within the comprehensive risk measure allowed JP Morgan to reduce risk-weighted assets while increasing market risk, claim industry experts


New Basel 2.5 requirements were behind the multi-billion-dollar trading loss reported by JP Morgan earlier this year, according to risk management experts – specifically, a loophole within the comprehensive risk measure (CRM) that allows banks to reduce risk-weighted assets (RWAs) by piling on new trades that increase market risk.

The losses were first announced in May and had reached $5.8 billion as of June 30. According to public disclosures, JP Morgan's chief investment office (CIO) was a big

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here