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.

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