JP Morgan Chase 2008 Annual Report Download - page 116

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Management’s discussion and analysis
114 JPMorgan Chase & Co./ 2008 Annual Report
95% Confidence Level VaR
Total IB trading VaR by risk type, credit portfolio VaR and other VaR
Six months ended December 31, 2008
(in millions) Average At December 31
IB VaR by risk type:
Fixed income $ 162 $ 180
Foreign exchange 23 38
Equities 47 39
Commodities and other 23 25
Diversification benefit to IB trading VaR (88) (108)
IB Trading VaR $ 167 $ 174
Credit portfolio VaR 45 77
Diversification benefit to IB trading and credit portfolio VaR (36) (57)
Total IB trading and credit portfolio VaR $ 176 $ 194
Consumer Lending VaR 37 112
Corporate Risk Management VaR 48 114
Diversification benefit to total other VaR (19) (48)
Total other VaR $ 66 $ 178
Diversification benefit to total IB and other VaR (40) (86)
Total IB and other VaR $ 202 $ 286
<
(
330
)
<
(
330
)
30
> <
60
60
> <
90
90
> <
120
120
> <
150
150
> <
180
(
150
)
> <
(
120
)
(
240
)
> <
(
210
)
Daily IB market risk-related gains and losses
Year ended December 31, 2008(a)
Number of trading days
Average daily revenue: $31 million
0
5
10
15
20
25
30
35
0
5
10
15
20
25
30
35
0
5
10
15
20
25
30
35
$ in millions
4
8
12
16
20
<
0
0
> <
30
30
> <
60
60
> <
90
60
> <
90
120
> <
150
>
240
$ in millions
Number of trading days
Daily IB VaR less market risk-related losses
180
> <
210
240
> <
270
210
> <
240
(
210
)
> <
(
180
)
270
> <
300
300
> <
330
0
> <
30
(
330
)
> <
(
300
)
(
300
)
> <
(
270
)
(
270
)
> <
(
240
)
0
>
330
(a) Includes seven months of Bear Stearns results.
(
180
)
> <
(
150
)
(
120
)
> <
(
90
)
(
90
)
> <
(
60
)
(
60
)
> <
(
30
)
(
30
)
> <
0
180
> <
210
90
> <
120
150
> <
180
210
> <
240
The Firm’s new 95% VaR measure includes all the risk positions
taken into account under the 99% confidence level VaR measure, as
well as syndicated lending facilities the Firm intends to distribute
(and, beginning in the fourth quarter of 2008, the credit spread
sensitivities of certain mortgage products). The Firm utilizes proxies
to estimate the VaR for these mortgage and credit products since
daily time series are largely not available. In addition, the new VaR
measure includes certain actively managed positions utilized as part
of the Firm’s risk management function within Corporate and in the
Consumer Lending businesses to provide a total IB and other VaR