Santander USA cuts market risk charges by 16%
Trading risk consolidation under IHC inflates VAR charges, nets cut to total requirements
Santander’s main US division began integrating the erstwhile Amherst Pierpoint’s trading book into its main market risk framework in the first quarter, a move that increased charges linked to the value-at-risk engine by 4,000%, but ultimately netted a 16% drop in trading book capital requirements.
Until the end of last year, market risk-weighted assets for the Spanish group’s intermediate holding company, Santander Holdings USA (SHUSA), mostly stemmed from de minimis positions – those not
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