Grossman said he would meet with state Attorney General Martha Coakley this week to discuss all possible remedies. He declined to say for sure whether the state would sue.
BNY Mellon, which has large operations in Massachusetts, denied the allegations and said it was “disappointed’’ the pension fund had taken this step.
“Describing our pricing as ‘overcharging’ is wrong and ignores the substantial, cost-effective benefits our service provides to our custody clients and their professional investment managers,’’ a BNY Mellon spokesman said in a statement. He said the company values its relationship with the state and hopes “to work with them to address their concerns.’’
Since 1999, BNY Mellon has been the custodian of the Massachusetts pension fund, which has about $50 billion in assets. Many of the investment firms that buy stocks, bonds, and other securities for the fund use Mellon to exchange currency in particular markets where they invest.
According to Grossman, the consultant, FXTransparency of Framingham, examined trades from January 2007 through May 11 of this year. State officials have now asked FXTransparency to go back to 2000 to review foreign-exchange costs.
Last year, Coakley declined to join lawsuits filed against Mellon and Boston-based State Street Corp. over foreign-exchange pricing. The lawsuits were brought by whistle-blowers who alleged a pattern of overcharging.
Yesterday, Coakley spokesman Brad Puffer said, “The treasurer’s office has shared this information with us today and we are actively reviewing it with them.’’
The treasurer’s audit comes as both Mellon and State Street face regulatory inquiries and lawsuits over their foreign-exchange charges, in particular for smaller trades in emerging markets. Both companies are custodians for many pensions, handling trillions of dollars in back-office accounting and record-keeping on investment transactions.
State Street has denied wrongdoing and has said it is cooperating with regulators.
