Covid tumult pushed VAR capital charges up 72% at US G-Sibs

Stormy trading conditions in the first quarter caused the market risk charges applied to top Wall Street dealers to spike, regulatory filings show. The aggregate value-at-risk capital requirement for the eight US global systemically important banks (G-Sibs) alone vaulted from $2.3 billion to $4 billion over the first three months of the year, an increase of 72%.

JP Morgan’s VAR-based charge increased the most of the eight over the quarter, by 148% to $1.1 billion. Its stressed VAR-based (SVAR)

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