Wells Fargo’s VAR spiked in Q4

Wells Fargo’s value-at-risk capital charge more than doubled in Q4 2019, increasing the most of all the systemically important US banks, Risk Quantum analysis shows.

Quarter on quarter, the San Francisco-based firm’s VAR-based charge jumped +106% to $278 million, the highest it’s been since Q3 2016.

Average risk-of-loss for interest rate positions surged the most at the bank, by +45% to $211 million over the quarter. Commodity VAR also jumped up, by +9% to $12 million. 

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