JP Morgan’s VAR falls to lowest since 2018

Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks

Average value-at-risk at JP Morgan’s corporate and investment bank (CIB) fell by 20% in the third quarter, hitting the lowest in three years.

The division’s VAR – a gauge of how much it stood to lose from on any given day of market activities – averaged $33 million in the three months to end-September, down from $41 million in the previous quarter and $90 billion a year prior. It was the lowest point since the third quarter of 2018.

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Commodities VAR drove the bulk of the reduction

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