US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
The Wall Street units of Credit Suisse and Sumitomo Mitsui Banking Corporation (SMBC) were hit with higher market risk capital add-ons in the first quarter, after daily trading losses surpassed value-at-risk forecasts.
In one of its last quarterly performances before the bank is absorbed into UBS, Credit Suisse USA’s peak loss was 285% larger than the bank’s VAR model estimated on a single day, marking the worst excess of any US dealer in Q1. It reported a further breach of 108% of VAR on
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