Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
JP Morgan twice exceeded its regulatory value-at-risk during backtesting in the three months to end-June, triggering its first capital add-on in three years.
On 25 of the quarter’s 65 trading days, volatility tipped the bank’s trading portfolio – as valued at the close of the previous day – into a loss. On two of those days, losses overshot the VAR forecast by as much as 50%.
These two backtesting
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