UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
UBS’s adoption of Fundamental Review of the Trading Book reforms on January 1 inflated its credit valuation adjustment (CVA) capital requirements by 30%, ranking the bank as the most affected, to date, by the abandonment of its in-house advanced approach.
The Swiss lender said the switch to FRTB – which restricts CVA risk calculations to three regulator-calibrated approaches – pushed its CVA risk-weighted assets (RWAs) up from $8.7 billion to $11.3 billion overnight.
In proportional terms, that
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