Crédit Agricole’s VAR jumps 88% on fixed income blow-up

Trading risk gauge reached the highest since Q2 2020

Crédit Agricole’s average one-day value-at-risk ballooned 88% in the second quarter, driven by blowout interest rate risk.

VAR, a measure of the most a bank’s trading desk can lose on any given day, averaged €15 million ($15.3 million) in the period – the most in two years – compared with €8 million in the first quarter. The trading risk gauge reached a high of €18 million during the period, compared with a €11 million peak in Q1.

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Most of the increase stemmed from fixed income VAR

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