UPDATE 1-JPMorgan commodities risk down from first quarter

Fri Jul 12, 2013 9:38am EDT

NEW YORK, July 12 (Reuters) - JPMorgan Chase & Co dialed back its
commodity trading risk in the second quarter from the previous three months as
prices of raw materials fell, results from the largest U.S. bank showed on
    Value-at-Risk in commodities at JPMorgan stood at $13 million per day in the
quarter, down $2 million from the first quarter and unchanged from a year
earlier. VaR is a measure of the maximum amount of money a  bank is prepared to
lose in a day from trading a particular asset class.
    Commodity prices as indicated by the Thomson Reuters-Jefferies CRB index
 fell 7 percent in the second quarter, sliding each month.
    Like other Wall Street banks, JPMorgan groups its commodities revenue under
the fixed income category and does not break down the sector individually. As a
result, VaR is often one of its key risk-reward indicators for commodities.
    JPMorgan said fixed income revenue fell to $4.1 billion in the second
quarter from nearly $4.8 billion a year earlier.
    Still, JPMorgan reported a 31 percent rise in second-quarter profit to $6.50
billion as trading revenue increased and the bank rebounded from the "London
Whale" derivatives loss of 2012. 
    Wall Street banks' average commodities VaR by quarter (millions of dollars
per day):

                     Q2     Q1    Q4   Q3   Q2   Q1   Q4   Q3    Q2
                     2013         2012                2011
 * JPMorgan          13     15    14   13   13   21   20   15    16
 * Goldman Sachs     n/a    21    20   22   20   26   26   25    39
 * Morgan Stanley    n/a    20    22   22   34   27   28   32    29
 * Bank of America   n/a    13   15  12.5  11.9 13.1 12.1 15.7 23.7
 ** Citigroup        n/a    34   13    15   18   14   18   21    25
*  Value-at-Risk based on a 95 percent confidence level
** Value-at-Risk based on a 99 percent confidence level
A couple walks along the rough surf during sunset at Oahu's North Shore, December 26, 2013. REUTERS/Kevin Lamarque

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