JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Stormy trading conditions in the first quarter caused the market risk charges applied to the eight US systemic banks to surge to the highest point since Q1 2021, Risk Quantum analysis shows.
The aggregated value-at-risk capital requirement alone rose from $3.4 billion to $4.8 billion, an increase of 40%. The stressed VAR-based (SVAR) charge, which projects the banks’ risk-of-loss using historical data taken from a period of intense market distress, also rose, by 20% to $11.9 billion.
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