CIBC’s VAR hits highest since 2008 amid interest rate risk surge

Client and market-making activities responsible for 44% increase

Canadian Imperial Bank of Commerce (CIBC) saw its value-at-risk spike to a 16-year high at the end of April, driven by a surge in interest rate risk.

One-day regulatory VAR – the most CIBC estimates it could lose over a one-day period – reached C$15 million ($11 million) on April 30, up 44.2% from the previous quarter. The quarterly average VAR rose by 39% to C$13 million. Both figures were the highest since 2008.

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