UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Market risk-weighted assets (RWAs) at UBS dropped by more than one-quarter through Q3, as its regulatory value-at-risk indicators adjusted to recent calmer trading conditions.
RWAs for market-making activities fell to $10.6 billion as of end-September, down from $14.2 billion three months prior and $15.1 billion in the first quarter.
The bulk of the quarterly drop was due to a collapse in VAR-related requirements. Standard VAR accounted for $2.8 billion of RWAs, down 33% on the quarter, and
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