VAR doubles at JP Morgan in Q2

Lorenzo Migliorato
14 Jul 2020

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JP Morgan’s risk-of-loss estimate for its trading portfolio averaged $128 million over the second quarter, its highest level on record, and an increase of 125% on Q1.

Trading value-at-risk for fixed income positions surged the most dollar-wise quarter-on-quarter, by $69 million (+115%). Percentage-wise, commodities VAR jumped highest, by 220% to $32 million. Average foreign exchange VAR edged up 29% to $9 million and equities VAR 35% to $27 million.

In addition, credit portfolio VAR, which

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