Bank of America, BNY Mellon incur VAR breaches

The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier

Bank of America and BNY Mellon incurred value-at-risk backtesting exceptions in Q3, as a result of larger-than-expected trading losses.

For Bank of America, it was the first VAR breach since Q1 2020, when the bank reported seven backtesting exceptions. BNY Mellon last reported a VAR breach in the second quarter of this year.

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Bank of America’s Q3 breach occurred on a trading day in which the ratio of actual losses to its VAR estimate hit 104.64%. The bank reported 27 losing trading

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