Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
The US trading entities of top international dealers disclosed losses far in excess of modelled estimates on a handful of days last quarter as the coronavirus crisis raged.
The US arm of Deutsche Bank, DB USA, disclosed one trading day last quarter on which losses exceeded its value-at-risk estimate by 1,017%. Royal Bank of Canada’s US operation, RBC US, topped that by incurring a loss 1,200% over VAR.
In aggregate, the 12 intermediate holding companies (IHCs) of foreign banking organisations
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