TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
The US intermediate holding company (IHC) of TD Bank suffered larger-than-expected trading losses on eight days in 2019, the most of any large foreign subsidiary or US systemic bank.
Of these value-at-risk backtesting exceptions, four occurred in Q3, three in Q2 and one in Q1. Because the number of VAR breaches over the past 250 days was greater than four at end-2019, the multiplier applied to TD Bank’s VAR-based capital requirement was set to 3.75, up from the default of three but lower than
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