Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%
US systemic lenders’ average interest rate value-at-risk capital charges inflated by an aggregate 45% in the second quarter, with Citi standing out for registering a fourfold jump.
A 303% rise from the previous quarter pushed the bank’s interest rate VAR-based charges, averaging $471 million in the second quarter, from fifth- to third-highest among the eight banks, behind Goldman Sachs and JP Morgan.
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