US units of BBVA, BNPP, TD Bank post VAR breaches in Q1
TD Bank losses on one day exceeded VAR estimate by 195%
Regulatory value-at-risk backtesting exceptions were incurred by the US units of BBVA, BNP Paribas and TD Bank in the first quarter of this year, due to larger than expected trading losses.
The three intermediate holding companies (IHCs) each reported one breach over the three months to end-March. BNP Paribas has now posted breaches for five consecutive quarters and TD Bank for two. In contrast, this is the first VAR breach suffered by BBVA since Q4 2016.
TD Bank’s breach happened on a day
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