Goldman Sachs Group Inc and JPMorgan Chase & Co commodity trading risk has increased, according to the companies’ first-quarter earnings disclosures. Reuters reported Goldman Sachs’ average daily Value at Risk (VaR) in commodities totaled $49 million in the first quarter of 2022, up from $32 million in the previous quarter and its highest for over a decade. VaR shows how much money it could lose trading a particular asset in a single day.
In equities trading, Goldman’s average VaR was $33 million and $25 million in currency trading. JPMorgan’s average daily trading VaR in commodities rose to $15 million during the first quarter, up from $12 million the previous quarter and surpassing $12 million for equities and $4 million for foreign exchange. Citigroup’s most recent disclosures showed VaR in commodities was up year-on-year for each quarter in 2021, peaking at $48 million at the end of the second quarter. Morgan Stanley, which has cut the size of its commodities trading business since the financial crisis, does not break out its VaR by asset class.
