Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
The daily value-at-risk (VAR) of Credit Suisse’s trading portfolio surged to Sfr 80 million ($83 million) on average in Q2, up 131% on the prior quarter.
Heightened trading risks linked to credit and rates pushed the total higher. Average credit spread VAR almost tripled from Q1 to Sfr 96 million, and peaked at Sfr 125 million at one point in the second quarter. Interest rate VAR jumped 67% to Sfr 34 million, and peaked at Sfr 44 million.
Credit Suisse also reported three downside VAR
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