New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
UBS implemented a new model to risk-weighting commercial real estate (CRE) lending in the second quarter, transitioning a substantial portion of these exposures from the standardised approach (SA) to the internal ratings-based (IRB) approach.
The switch resulted in an increase of $1.8 billion in credit risk-weighted assets (RWAs) computed under the advanced IRB (A-IRB) approach, partially offsetting $8.8 billion in reductions achieved through portfolio adjustments and model refinements.
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