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Wall Street and commodity risk - Morgan Stanley measure slips

Reuters

(Reuters) - Morgan Stanley Inc's (MS.N) commodity trading risk measure, known as Value-at-Risk (VaR), fell to its lowest in at least three years in the quarter through June, the bank said on Wednesday, as the Wall Street bank reported higher commodities revenue.

The bank's daily average VaR indicator was $10 million (£7.5 million) in the second quarter, down $1 million from the previous quarter and compared with $16 million a year earlier.

The VaR is a risk-reward indicator that measures the commodities exposure of Wall Street banks.

Earlier Wednesday Morgan Stanley reported better-than-expected quarterly results boosted by bond trading revenue.

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Fixed income and commodities sales and trading net revenues totalled $1.3 billion, up from $873 million in the prior quarter and almost unchanged from last year, even after selling its oil merchant business in the fourth quarter of 2015.

Wall Street banks typically group commodities revenue under the fixed income category and do not break out the sector.

In the quarter, crude oil prices (CLc1) continued to recover, piercing $50 per barrel in June on hopes that output cuts by major producers would help erode the global glut, while gold (XAU=) soared to above $1,350 an ounce, its highest in more than two years, as speculators piled on bullish safe-haven bets.

Last week, JPMorgan Chase & Co (JPM.N) reported that its VaR was unchanged at $9 million in the second quarter, while Goldman Sachs Group Inc's (GS.N) measure rose to its highest in 18 months in the quarter.

The following is a table of VaR, in millions of dollars, for five major U.S. banks:

2016 2015 2014 2013

Q2 Q1 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1

Goldman 20 16 15 17 19 27 23 23 21 22 20 16 19 17

Sachs*

Morgan 10 11 12 17 16 19 14 15 19 20 18 20 24 20

Stanley*

JPMorgan 9 9 11 10 9 8 6 7 9 11 15 13 13 15

BoA-ML 5 4 5 6 6 8 8 7 7 6 12 14 15

Citigroup 17 17 17 18 24 19 15 15 14 11 13 12 34

* Average daily VaR

(Reporting by Josephine Mason; Editing by Jeffrey Benkoe)