Liquidity valuation adjustment costs JPM $235m
Tweak to derivatives book weighs on the bank’s fixed income revenues
Tighter liquidity assumptions for traded derivatives at JP Morgan lopped off around $235 million of revenue in the third quarter of the year, Risk Quantum analysis shows.
The bank reported revenue of $3.7 billion for its fixed income markets division, down 20% from 12 months prior, and 10% lower quarter on quarter.
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The result included what the bank called “an adjustment to liquidity assumptions in the derivatives portfolio”. JP Morgan’s chief financial officer Jeremy Barnum said
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