November 22, 2023 (NO COMMENTS)

Four US dealers incurred value-at-risk backtesting exceptions in the third quarter, breaching VAR limits by as much as two-and-a-half times. Citi, Credit Suisse USA and Comerica incurred one backtesting exception each, reporting a peak loss 270%, 364% and 251% larger than their respective VAR models estimated. Huntington Bancshares posted three model-busting losses, equating to 130%, 125% and 103% of the daily estimates. // Banks operating in the US must disclose their three largest