Systemic US banks incurred 42 VAR breaches in Q1

Leading dealers saw actual losses over four times greater than their VAR estimates on some days

Top US dealers suffered trading losses in excess of their value-at-risk (VAR) estimates 42 times in aggregate over the first three months of the year, as markets turned feral by the coronavirus crisis overloaded their models.

Losses exceeded VAR on eight days at Wells Fargo, on seven days at JP Morgan and Bank of America, on six days at Goldman Sachs and Morgan Stanley and on four days at Citi and State Street. BNY Mellon was the only US global systemically important bank (G-Sib) not to incur a

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