Morgan Stanley incurs two VAR breaches
The latest backtesting exceptions put the bank one step closer to triggering a capital requirement hike
Four systemic US banks incurred value-at-risk backtesting exceptions in the first quarter of the year, as market volatility triggered larger-than-expected trading losses.
Morgan Stanley reported two VAR breaches, the most of the group. The peak loss was 138.94% larger than the bank’s VAR model estimated. The second- and third-largest trading losses reached 107.48% and 94.14% of VAR, respectively. The bank also reported two backtesting exceptions in Q4 2021.
!function(e,i,n,s){var t=Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Cross-border lending to shadow banks spiked in Q3
Non-bank financial institutions record fastest annual growth since Covid-19 pandemic
UBS’s FCM allocates record-low own funds relative to client margin
Residual interest equivalent to just 1.9% of customer contributions for futures and options in November
US MMFs retrenched to Fed repos as 2024 wrapped up
Allocation needs trump yields, boosting RRP exposure by 125% in December
Valley National cuts CRE exposure amid charge-offs and loan sales
Exposures fall to 362% of total capital, but portfolio keeps deteriorating
US regionals predict prolonged AOCI burndown
Six banks adjust capital projections amid rising unrealised losses in Q4
EU bond funds’ debt securities see largest increase since pandemic
Holdings up €102 billion in November, driven by funds in Luxembourg, Ireland and France
US MMFs clear record one-third of repos via FICC
Trades executed through sponsored access hit a $865 billion high at end-2024
Capital One’s CRE charge-offs creep back up
Office property segment pummelled hardest, as charge-off rates increase twelvefold in Q4
