US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Trading losses at the US unit of Barclays came close to exceeding its value-at-risk estimate in the last quarter of 2021, after the highest losses-to-VAR ratio reached 96.02%.
Banks operating in the US must disclose their three largest trading losses each quarter as a percentage of VAR. If these exceed 100% of VAR, the bank incurs a breach.
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The second- and third-largest trading losses at Barclays US reached 81.48% and 73.78%, respectively. This compared with losses-to-VAR ratios of 75
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