JP Morgan incurs eight VAR breaches, triggering capital hike

Largest trading loss in Q4 reached 207% of the bank’s VAR limit

JP Morgan incurred eight value-at-risk backtesting exceptions in the last quarter of 2021, as a result of larger-than-expected trading losses.

It was the highest number of VAR breaches since public disclosures began in 2015, and a new record after the seven backtesting exceptions set in Q1 2020 during the Covid-driven market volatility.

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As a result of the most recent violations, JP Morgan had to increase the multiplication factor applied to its VAR-based capital requirement, to 3.75

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