Risk Quantum/UBS
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
Societe Generale defers €1.35 billion of trade profits
French dealer holds back far more than rival dealers
US foreign bank rules sap UBS liquidity buffer
HQLA fell Sfr2 billion in the second quarter, down 17% since US IHC formed
VAR cut helps shrink UBS market RWAs
Average management VAR falls Sfr10 billion
UBS far exceeds 2018 credit and counterparty risk estimate
Sfr2.4 billion growth attributed to model changes alone
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion
European banks vague on settled-to-market switch
UBS reported a cut in gross derivatives assets and liabilities attributable to STM of Sfr11.4 billion in 2017
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
UBS liquidity coverage ratio shrinks after regulatory change
The rule change led to higher net cash outflows at the bank, which jumped 5.5% to Sfr135 billion in March
IFRS 9 charge fails to dent UBS capital
The accounting charge was more that offset by increased earnings, with total CET1 capital increasing by Sfr 0.5 billion
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend