Model refinements slim UBS market risk RWAs
The bank’s market RWAs fell to $10.9 billion at end-June
Model updates and lower regulatory add-ons helped UBS cut market risk-weighted assets by 16% in the second quarter, to their lowest level since Q1 2017.
The bank’s market RWAs fell to $10.9 billion at end-June, from $13 billion the quarter prior. Updates to the firm’s risks-not-in-VAR framework led to lower regulatory add-ons, which in turn shed $1.5 billion from the total. Model updates garnered an RWA saving of $200 million.
The Swiss bank said the drop in market RWAs also reflected
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