US bank VAR-based charges surge in volatile first quarter

US banks’ value-at-risk (VAR) capital charges grew in the first quarter of 2018, with requirements connected to equity and interest rate positions at some dealers far higher than those recorded at end-2017.

The average increase in the VAR-based requirement across 11 large dealers was 23%. Bank of America’s charge increased the most quarter-on-quarter, by 43%, followed by Citigroup and Goldman Sachs, which increased their requirements by 36% and 26%, respectively.

State Street was the only

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