Bank of America and BNY Mellon suffer VAR breaches
Trading losses exceeded estimates on a single day at each dealer in the first quarter
Bank of America and BNY Mellon incurred value-at-risk backtesting exceptions in the first three months of the year as a result of larger-than-expected trading losses.
Each dealer reported one day during the quarter when trading losses exceeded their VAR model estimates. In the 12 months to March 31, Bank of America reported two backtesting exceptions in total, and BNY Mellon reported one.
In its most recent quarterly market risk report, BNY Mellon said the ratio of its largest daily loss to
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