BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
BNY Mellon incurred a value-at-risk backtesting exception in Q2, as a result of larger-than-expected trading losses.
The custodian bank’s losses-to-VAR ratio on the day in which it reported a backtesting exception was 145.75%. It was the first such instance since Q1 2018 and the only VAR breach in the quarter across the eight US global systemically important banks (G-Sibs).
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It’s also the first time any US G-Sib has incurred a VAR breach since the Covid-driven market volatility of Q1
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