Top US banks record 14 VAR breaches

JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021

Most systemic US banks incurred value-at-risk backtesting exceptions in the last quarter of 2021, as market volatility triggered larger-than-expected trading losses.

On aggregate, US dealers reported 14 VAR breaches, up from just two the previous quarter. JP Morgan accounted for eight of those, followed by Morgan Stanley with two, and Bank of America, Citi, Goldman Sachs and State Street with one each.

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US banks must disclose their three largest trading losses each quarter as a

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