Citi leads US banks’ jump in rates VAR-based charges

In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%

US systemic lenders’ average interest rate value-at-risk capital charges inflated by an aggregate 45% in the second quarter, with Citi standing out for registering a fourfold jump.

A 303% rise from the previous quarter pushed the bank’s interest rate VAR-based charges, averaging $471 million in the second quarter, from fifth- to third-highest among the eight banks, behind Goldman Sachs and JP Morgan.

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