NEW YORK, July 12 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
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