ING’s interest rate VAR spiked in Q4

Potential-loss indicator for rates trading peaked at €20 million

ING Bank’s daily value-at-risk for interest rates trading hit a 12-month high in the final quarter of 2021, as the broker-dealer’s models reckoned with resurgent volatility.

At €20 million ($23 million), the peak interest rate VAR for Q4 was also the highest since the start of the year, eclipsing the previous zenith of €18 million, recorded in Q1. 

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It marked a stark departure from the staid risk levels seen in Q3, when interest rate VAR never rose past €6 million.

The lowest reading

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