US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
Trading losses as a percentage of value-at-risk estimates pulled back sharply during the second quarter at US subsidiaries of foreign banks, Risk Quantum analysis shows.
Banks operating in the US must disclose their three largest trading losses each quarter. If these exceed 100% of VAR, the bank incurs a backtesting exception and can ratchet up higher capital requirements.
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