US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
The US trading entity of BBVA edged close to incurring a value-at-risk backtesting exception in the first quarter of the year, after its largest trading loss came close to its regulatory VAR estimate.
Banks must disclose their three largest trading losses each quarter as a percentage of VAR. The largest loss-to-VAR ratio at BBVA was 95.49%, the highest of the 12 intermediate holding companies (IHCs).
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