JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
US systemic banks’ value-at-risk capital charges fell 17% in the three months to end-September, as the level of market risk exposure decreased to the lowest point since Q4 2019.
JP Morgan and Goldman Sachs posted the largest drop in their VAR-based capital requirement on the quarter, by 37% and 19%, respectively.
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