Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
Trading risk at Banco Santander fell in Q2, reversing the previous quarter’s increase.
The Spanish lender saw its average value-at-risk drop 16% quarter-on-quarter to €11.4 million ($12.7 million). It peaked in Q2 at €20.4 million, compared with €21.6 million in Q1.
Average interest rate VAR, the largest component of its overall risk measure, collapsed 29% to €8.9 million, and hit a peak of €15.5 million in the second quarter, compared with one of €17.6 million in the first.
Risk-of-loss
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