US bank VAR-based charges surge in volatile first quarter
Average quarter-on-quarter increase of 23% for VAR-based capital across 11 large dealers
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
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