US banks' VAR-based charges drop in Q2

US global systemically important banks’ value-at-risk capital charges dropped in the three months to June, reflecting a decrease in their level of market risk exposure and reversing the previous quarter’s trend of an aggregate rise.

The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter. Citi posted the largest drop in its capital charge on the quarter, by 29%, followed by Bank of America and BNY Mellon

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