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.



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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here