Goldman Sachs commodities risk up 60 percent in Q1

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April 20, 2011 6:28 AM EST

Goldman Sachs Inc, the largest U.S. investment bank, raised its commodities trading risk by 60 percent in the first quarter amid a rally in oil, metals and grains markets.

Goldman's value-at risk (VaR) for commodities averaged $37 million in the three months to March 31, versus $23 million in the previous quarter.

But it was lower compared to the $49 million in the first quarter of 2010, financial results released on Tuesday showed.

VaR is an industry measure for how much of a bank's money is at risk on a day for trading a particular asset class.

Profit at Goldman dropped 72 percent in the first quarter as it made less money from trading bonds for clients.

But net revenues from commodities traded on behalf of clients were "solid and ... higher compared with the same prior year period", the bank said in a statement.

Goldman's commodities VaR for the first quarter was also markedly higher than that assumed by key rival and No. 2 U.S. bank JPMorgan Chase

Co..

JPMorgan, which declared "strong performance" from commodities during the quarter, averaged $13 million per million per day in VaR for the asset class compared with $14 million in the fourth quarter of 2010.

Morgan Stanley, another Goldman Sachs rival, reports first-quarter results on Thursday.

Commodities VaR at Goldman Sachs versus other leading U.S. banks since the start of 2009 (in $ millions):

(Reporting by Barani Krishnan; Editing by John Picinich)

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