Risk Quantum/UBS
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
Client margin for swaps hits new record at four FCMs
Required funds at all-time high at BofA, Goldman, JP Morgan and Barclays in November as market turbulence persists
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Credit Suisse, Schwab and UBS hardest hit by new risk indicator
Swiss dealer sees biggest score increase under revised substitutability category in G-Sib assessment
BofA faces higher G-Sib surcharge, BNPP earns reprieve
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
FCM client margin for swaps hit record high in September
JP Morgan reported the largest monthly increase across the 13 reporting firms
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
UBS’s investment bank sees RWAs surge as revenue slows
Market risk exposure jumped 25% to $13.1 billion in Q2, the highest level in more than three years
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
French tax fraud verdict costs UBS $4.1bn of additional op RWAs
Extra capital charges will be split across the first six months of the year