UBS incurred two VAR breaches in Q2

Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout

UBS incurred two value-at-risk backtesting exceptions in the second quarter, marking the third time since the start of the year that the bank’s trading losses overshot internal estimates.

Risk Quantum understands all three year-to-date breaches stemmed from the default of Archegos Capital Management. Since the heavily-leveraged hedge fund collapsed in late March, several of its lenders have been forced to liquidate exposures at a loss.

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