UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs
UBS incurred three backtesting exceptions in the third quarter on positions inherited from Credit Suisse, placing it two breaches away from a higher capital multiplier.
The bank reported that, within the legacy perimeter, market volatility had led to one-day trading losses exceeding those forecast by value-at-risk. An additional VAR breach was caused by steeper-than-expected valuation adjustments during the liquidation of certain positions.
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